N-Q 1 d512618dnq.htm FOF N-Q FOF N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21624

 

 

Allianz Variable Insurance Products Fund of Funds Trust

(Exact name of registrant as specified in charter)

 

 

5701 Golden Hills Drive, Minneapolis, MN 55416-1297

(Address of principal executive offices) (Zip code)

 

 

Citi Fund Services Ohio, Inc., 4400 Easton Commons, Ste. 200, Columbus, OH 43219-8000

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 1-800-624-0197

Date of fiscal year end: December 31

Date of reporting period: March 31, 2018

 

 

 

Item 1. Schedule of Investments.

AZL Balanced Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

    Fair Value  

Affiliated Investment Companies (100.0%):

 

20,205,826

   

AZL Enhanced Bond Index Fund

    $ 216,606,455  

3,159,710

   

AZL International Index Fund, Class 2

      54,062,631  

1,383,148

   

AZL Mid Cap Index Fund, Class 2

      32,199,680  

6,858,446

   

AZL S&P 500 Index Fund, Class 2

      109,597,974  

1,155,929

   

AZL Small Cap Stock Index Fund, Class 2

      17,281,137  
     

 

 

  

Total Affiliated Investment Companies
(Cost $335,490,477)

      429,747,877  
     

 

 

  

Total Investment Securities
(Cost $335,490,477) - 100.0%

      429,747,877  

Net other assets (liabilities) - 0.0%

      (176,284 ) 
     

 

 

  

Net Assets - 100.0%

    $ 429,571,593  
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

 

See accompanying notes to the schedules of portfolio investments.

AZL DFA Multi-Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

   Fair Value  

Affiliated Investment Companies (100.0%):

 

5,137,673

   

AZL DFA Emerging Markets Core Equity Fund

   $ 58,312,586  

46,879,074

   

AZL DFA Five-Year Global Fixed Income Fund

     465,977,991  

7,231,243

   

AZL DFA International Core Equity Fund

     82,002,300  

34,250,465

   

AZL DFA U.S. Core Equity Fund

     434,295,896  

9,358,644

   

AZL DFA U.S. Small Cap Fund

     114,362,634  
    

 

 

  

Total Affiliated Investment Companies
(Cost $1,028,126,315)

     1,154,951,407  
 

 

 

  

Total Investment Securities
(Cost $1,028,126,315) - 100.0%

     1,154,951,407  

Net other assets (liabilities) - 0.0%

     166,936  
 

 

 

  

Net Assets - 100.0%

   $ 1,155,118,343  
 

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP Balanced Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

        Fair Value  

Affiliated Investment Companies (95.1%):

  

14,349,029

   

AZL Enhanced Bond Index Fund

   $ 153,821,587  

2,333,874

   

AZL International Index Fund, Class 2

     39,932,591  

1,018,791

   

AZL Mid Cap Index Fund, Class 2

     23,717,459  

4,598,809

   

AZL S&P 500 Index Fund, Class 2

     73,488,970  

844,878

   

AZL Small Cap Stock Index Fund, Class 2

     12,630,928  
    

 

 

  

Total Affiliated Investment Companies
(Cost $272,016,714)

     303,591,535  
    

 

 

  

Total Investment Securities
(Cost $272,016,714) - 95.1%

     303,591,535  

Net other assets (liabilities) - 4.9%

     15,569,407  
    

 

 

  

Net Assets - 100.0%

   $   319,160,942  
    

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

    

 

 

Continued

AZL MVP Balanced Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $15,957,617 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:

Long Futures

 

Description

    Expiration
Date		      Number of
Contracts		    Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18      60      7,929,000      $ (294,878 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18      65      7,874,140        62,917  
           

 

 

  
            $ (231,961 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

       Fair Value  

Common Stocks (27.5%):

  

Aerospace & Defense (0.4%):

  
635  

BAE Systems plc(a)

   $ 5,186  
332  

Boeing Co. (The)(a)

     108,856  
434  

Dassault Aviation SA(a)

     829,303  
310  

General Dynamics Corp.(a)

     68,479  
11  

Lockheed Martin Corp.(a)

     3,717  
430  

Northrop Grumman Corp.(a)

     150,122  
577  

Raytheon Co.(a)

     124,528  
12,857  

Safran SA(a)

     1,362,304  
23  

Thales SA(a)

     2,802  
16  

United Technologies Corp.(a)

     2,013  
   

 

 

  
      2,657,310  
   

 

 

  

Air Freight & Logistics (0.0%):

  
243  

Deutsche Post AG(a)

     10,625  
   

 

 

  

Airlines (0.6%):

  
34,660  

Azul SA, ADR*(a)

     1,204,435  
696  

Delta Air Lines, Inc.(a)

     38,148  
460  

International Consolidated Airlines Group SA(a)

     3,981  
47,000  

Japan Airlines Co., Ltd.(a)

     1,912,446  
26,725  

United Continental Holdings, Inc.*(a)

     1,856,586  
   

 

 

  
      5,015,596  
   

 

 

  

Auto Components (0.8%):

  
9,100  

Aisin Sieki Co., Ltd.(a)

     498,316  
33,300  

Bridgestone Corp.(a)

     1,462,167  
51,683  

Cheng Shin Rubber Industry Co., Ltd.(a)

     84,440  
21,800  

Denso Corp.(a)

     1,197,566  
2,400  

Exedy Corp.(a)

     75,923  
754  

Goodyear Tire & Rubber Co.(a)

     20,041  
8,500  

Koito Manufacturing Co., Ltd.(a)

     596,099  
315  

Lear Corp.(a)

     58,619  
143  

Magna International(a)

     8,056  
2,400  

Stanley Electric Co., Ltd.(a)

     90,501  
29,400  

Sumitomo Electric Industries, Ltd.(a)

     452,043  
24,600  

Toyota Industries Corp.(a)

     1,497,129  
   

 

 

  
      6,040,900  
   

 

 

  

Automobiles (0.4%):

  
140,000  

Brilliance China Automotive Holdings, Ltd.(a)

     294,471  
4,000  

Dongfeng Motor Corp., Series H(a)

     4,668  
221  

Ford Motor Co.(a)

     2,449  
25,100  

Fuji Heavy Industries, Ltd.(a)

     830,889  
215  

General Motors Co.(a)

     7,813  
2,000  

Guangzhou Automobile Group Co.,
Ltd.(a)

     3,715  
3,136  

Hero MotoCorp, Ltd.(a)

     171,126  
4,256  

Maruti Suzuki India, Ltd.(a)

     581,473  
200  

Mazda Motor Corp.(a)

     2,672  
36,600  

Suzuki Motor Corp.(a)

     1,987,115  
405  

Tata Motors, Ltd.*(a)

     1,148  
87  

Tata Motors, Ltd.*(a)

     442  
   

 

 

  
      3,887,981  
   

 

 

  

Banks (1.9%):

  
35,403  

ABN AMRO Group NV(a)

     1,067,261  
11,000  

Agricultural Bank of China, Ltd.(a)

     6,326  
304  

Akbank T.A.S.(a)

     738  
581  

Banco Bilbao Vizcaya Argentaria SA(a)

     4,600  
476  

Banco do Brasil SA(a)

     5,961  
246  

Banco Santander Brasil SA(a)

     2,981  
1,674  

Banco Santander Mexico SA, Class B(a)

     2,408  
121,207  

Bank of America Corp.(a)

     3,634,997  
12,000  

Bank of China, Ltd.(a)

     6,522  

Shares

       Fair Value  

Common Stocks, continued

  

Banks, continued

  
3,000  

Bank of Communications Co., Ltd., Class H(a)

   $ 2,370  
158  

Bank of Nova Scotia(a)

     9,734  
623  

Barclays plc(a)

     1,819  
122  

BNP Paribas SA(a)

     9,045  
9,000  

China Construction Bank(a)

     9,352  
1,000  

Chinatrust Financial Holding Co.,
Ltd.(a)

     723  
31,167  

Citigroup, Inc.(a)

     2,103,772  
167  

Credit Agricole SA(a)

     2,717  
903  

Criteria Caixacorp SA(a)

     4,306  
252  

Danske Bank A/S(a)

     9,419  
164  

DnB NOR ASA(a)

     3,201  
1,502  

Fifth Third Bancorp(a)

     47,689  
581  

Grupo Financiero Banorte SAB de C.V.(a)

     3,553  
107  

Hana Financial Holdings Group,
Inc.(a)

     4,596  
208,967  

HSBC Holdings plc(a)

     1,953,116  
8,000  

Industrial & Commercial Bank of China(a)

     6,938  
296  

Industrial Bank of Korea (IBK)(a)

     4,350  
72,831  

ING Groep NV(a)

     1,229,946  
426  

Intesa Sanpaolo SpA(a)

     1,553  
11,699  

JPMorgan Chase & Co.(a)

     1,286,539  
2  

KBC Group NV(a)

     174  
47,218  

Kotak Mahindra Bank, Ltd.(a)

     765,849  
14,698  

Lloyds Banking Group plc(a)

     13,354  
700  

Mitsubishi UFJ Financial Group,
Inc.(a)

     4,647  
165  

National Australia Bank, Ltd.(a)

     3,630  
1,200  

Resona Holdings, Inc.(a)

     6,460  
252  

Royal Bank of Canada(a)

     19,468  
15  

Shinhan Financial Group Co., Ltd.(a)

     639  
482  

Skandinaviska Enskilda Banken AB, Class A^(a)

     5,055  
98  

Societe Generale(a)

     5,331  
95,012  

State Bank of India(a)

     366,282  
40,900  

Sumitomo Mitsui Financial Group, Inc.(a)

     1,734,588  
19,588  

SunTrust Banks, Inc.(a)

     1,332,768  
25  

Toronto-Dominion Bank (The)(a)

     1,419  
972  

Turkiye Halk Bankasi AS(a)

     2,249  
154  

Unicredit SpA(a)

     3,231  
158  

Wells Fargo & Co.(a)

     8,281  
174  

Woori Bank(a)

     2,359  
47,738  

Yes Bank, Ltd.(a)

     226,491  
   

 

 

  
      15,928,807  
   

 

 

  

Beverages (0.2%):

  
16,572  

Anheuser-Busch InBev NV(a)

     1,821,084  
2  

Carlsberg A/S, Class B(a)

     239  
118  

Coca-Cola Co. (The)(a)

     5,125  
351  

Constellation Brands, Inc., Class C(a)

     80,000  
44  

Diageo plc(a)

     1,488  
5  

Monster Beverage Corp.*(a)

     286  
1,451  

PepsiCo, Inc.(a)

     158,376  
   

 

 

  
      2,066,598  
   

 

 

  

Biotechnology (0.4%):

  
823  

AbbVie, Inc.(a)

     77,897  
506  

Amgen, Inc.(a)

     86,263  
1,589  

Biogen Idec, Inc.*(a)

     435,100  
184  

Celgene Corp.*(a)

     16,415  
31,144  

Gilead Sciences, Inc.(a)

     2,347,946  
3,980  

Tesaro, Inc.*^(a)

     227,417  
   

 

 

  
      3,191,038  
   

 

 

  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

       Fair Value  

Common Stocks, continued

  

Building Products (0.2%):

  
100  

Asahi Glass Co., Ltd.(a)

   $ 4,192  
255  

Compagnie de Saint-Gobain SA(a)

     13,468  
5,300  

Daikin Industries, Ltd.(a)

     588,664  
8,755  

Fortune Brands Home & Security,
Inc.(a)

     515,582  
1,923  

Masco Corp.(a)

     77,766  
5,000  

Nichias Corp.(a)

     64,276  
   

 

 

  
      1,263,948  
   

 

 

  

Capital Markets (1.1%):

  
343  

Ameriprise Financial, Inc.(a)

     50,743  
671  

Bank of New York Mellon Corp. (The)(a)

     34,577  
46,336  

Charles Schwab Corp. (The)(a)

     2,419,666  
8  

CME Group, Inc.(a)

     1,294  
120  

Franklin Resources, Inc.(a)

     4,162  
5,323  

Goldman Sachs Group, Inc. (The)(a)

     1,340,651  
100  

Hong Kong Exchanges & Clearing, Ltd.(a)

     3,287  
5  

Intercontinental Exchange, Inc.(a)

     363  
52,286  

Morgan Stanley(a)

     2,821,352  
100  

Nomura Holdings, Inc.(a)

     582  
336  

State Street Corp.(a)

     33,509  
63  

Thomson Reuters Corp.(a)

     2,435  
123,270  

UBS Group AG(a)

     2,171,243  
   

 

 

  
      8,883,864  
   

 

 

  

Chemicals (1.5%):

  
17,594  

Air Products & Chemicals, Inc.(a)

     2,797,974  
51,300  

Asahi Kasei Corp.(a)

     682,992  
60  

BASF SE(a)

     6,097  
15,400  

Daicel Chemical Industries, Ltd.(a)

     168,742  
54,357  

DowDuPont, Inc.(a)

     3,463,084  
34,000  

Formosa Chemicals & Fibre Corp.(a)

     128,381  
35,000  

Formosa Plastics Corp.(a)

     124,619  
15,200  

Hitachi Chemical Co., Ltd.(a)

     338,399  
767  

Huntsman Corp.(a)

     22,435  
5,200  

Kuraray Co., Ltd.(a)

     90,353  
582  

LG Chem, Ltd.(a)

     213,165  
3  

Lotte Chemical Corp.(a)

     1,227  
18  

Lyondellbasell Industries NV(a)

     1,902  
100  

Mitsubishi Chemical Holdings
Corp.(a)

     971  
44,000  

Nan Ya Plastics Corp.(a)

     124,480  
9,900  

Nitto Denko Corp.(a)

     750,671  
2  

Praxair, Inc.(a)

     289  
73,900  

PTT Global Chemical Public Co., Ltd.(a)

     224,844  
18,100  

Shin-Etsu Chemical Co., Ltd.(a)

     1,881,910  
5,000  

Toagosei Co., Ltd.(a)

     59,075  
55,300  

Toray Industries, Inc.(a)

     525,295  
20,600  

Ube Industries, Ltd.(a)

     604,334  
   

 

 

  
      12,211,239  
   

 

 

  

Commercial Services & Supplies (0.0%):

  
52  

Waste Management, Inc.(a)

     4,374  
   

 

 

  

Communications Equipment (0.1%):

  
401  

Cisco Systems, Inc.(a)

     17,199  
73  

Motorola Solutions, Inc.(a)

     7,687  
108,961  

Nokia OYJ(a)

     602,225  
   

 

 

  
      627,111  
   

 

 

  

Construction & Engineering (0.1%):

  
4,100  

ComSys Holdings Corp.(a)

     108,998  
713  

Eiffage SA(a)

     81,212  
12,500  

Kinden Corp.(a)

     208,131  

Shares

       Fair Value  

Common Stocks, continued

  

Construction & Engineering, continued

  
2,000  

Kyudenko Corp.(a)

   $ 98,236  
5,000  

Maeda Road Construction Co., Ltd.(a)

     100,736  
5,000  

Nippo Corp.(a)

     113,001  
4,600  

Okumura Corp.(a)

     179,548  
200  

TAISEI Corp.(a)

     10,249  
22,000  

Toda Corp.(a)

     159,446  
   

 

 

  
      1,059,557  
   

 

 

  

Construction Materials (0.0%):

  
14,614  

Cemex SAB de C.V.*(a)

     9,672  
11,000  

Siam Cement PCL(a)

     174,099  
   

 

 

  
      183,771  
   

 

 

  

Consumer Finance (0.0%):

  
1,079  

Ally Financial, Inc.(a)

     29,295  
35  

American Express Co.(a)

     3,265  
562  

Capital One Financial Corp.(a)

     53,851  
848  

Discover Financial Services(a)

     60,996  
   

 

 

  
      147,407  
   

 

 

  

Containers & Packaging (0.1%):

  
776  

Crown Holdings, Inc.*(a)

     39,382  
1,075  

International Paper Co.(a)

     57,437  
673  

Packaging Corp. of America(a)

     75,847  
10,847  

WestRock Co.(a)

     696,052  
   

 

 

  
      868,718  
   

 

 

  

Distributors (0.0%):

  
3,400  

Canon Marketing Japan, Inc.(a)

     92,068  
   

 

 

  

Diversified Consumer Services (0.0%):

  
96  

New Oriental Education & Technology Group, Inc., ADR(a)

     8,414  
   

 

 

  

Diversified Financial Services (0.0%):

  
968  

Berkshire Hathaway, Inc., Class B*(a)

     193,097  
102,000  

Fubon Financial Holdings Co., Ltd.(a)

     177,069  
   

 

 

  
      370,166  
   

 

 

  

Diversified Telecommunication Services (0.6%):

  
159  

AT&T, Inc.^(a)

     5,668  
49,535  

Cellnex Telecom SAU(a)

     1,323,955  
4,000  

China Telecom Corp., Ltd., Class H(a)

     1,774  
218,000  

Chunghwa Telecom Co., Ltd.(a)

     837,011  
11,851  

El Towers SpA(a)

     665,770  
80,000  

HKT Trust & HKT, Ltd.(a)

     100,902  
2,900  

Nippon Telegraph & Telephone
Corp.(a)

     134,737  
66,100  

Singapore Telecommunications, Ltd.(a)

     170,441  
1,121,766  

Telecom Italia SpA*(a)

     1,068,140  
26,521  

Telecom Italia SpA(a)

     22,149  
163  

Telefonica SA(a)

     1,615  
261  

Telenor ASA(a)

     5,939  
618  

Telstra Corp., Ltd.(a)

     1,499  
2,608  

Verizon Communications, Inc.(a)

     124,715  
   

 

 

  
      4,464,315  
   

 

 

  

Electric Utilities (0.4%):

  
7,494  

CEZ(a)

     187,113  
14,500  

CK Infrastructure Holdings, Ltd.(a)

     119,180  
16,500  

CLP Holdings, Ltd.(a)

     168,673  
164,007  

Enel SpA(a)

     1,004,775  
13,000  

Hongkong Electric Holdings, Ltd.(a)

     116,404  
12,731  

NextEra Energy, Inc.(a)

     2,079,354  
56  

PG&E Corp.(a)

     2,460  
1,564  

PGE SA*(a)

     4,549  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

       Fair Value  

Common Stocks, continued

 

Electric Utilities, continued

 

45  

Scottish & Southern Energy plc(a)

   $ 806  
   

 

 

  
      3,683,314  
   

 

 

  

Electrical Equipment (0.2%):

  
517  

ABB, Ltd.(a)

     12,316  
53  

Eaton Corp. plc(a)

     4,235  
65  

Emerson Electric Co.(a)

     4,440  
16,000  

GS Yuasa Corp.(a)

     86,679  
2,900  

Mabuchi Motor Co., Ltd.(a)

     143,875  
95,800  

Mitsubishi Electric Corp.(a)

     1,557,270  
274  

Rockwell Automation, Inc.(a)

     47,730  
   

 

 

  
      1,856,545  
   

 

 

  

Electronic Equipment, Instruments & Components (0.2%):

  
114  

Corning, Inc.(a)

     3,178  
2,000  

Hitachi, Ltd.(a)

     14,593  
55,400  

Hon Hai Precision Industry Co.,
Ltd.(a)

     173,129  
5,000  

Japan Aviation Electronics Industry, Ltd.(a)

     71,151  
300  

Keyence Corp.(a)

     187,807  
11,200  

Murata Manufacturing Co.,
Ltd.(a)

     1,546,279  
   

 

 

  
      1,996,137  
   

 

 

  

Energy Equipment & Services (0.1%):

  
147  

Halliburton Co.(a)

     6,900  
595  

Helmerich & Payne, Inc.^(a)

     39,603  
8,668  

Schlumberger, Ltd.(a)

     561,513  
   

 

 

  
      608,016  
   

 

 

  

Equity Real Estate Investment Trusts (0.1%):

  
621  

American Tower Corp.(a)

     90,256  
49  

Equity Residential Property
Trust(a)

     3,019  
181  

HCP, Inc.(a)

     4,205  
18,500  

Link REIT (The)(a)

     158,668  
912  

Stockland Trust Group(a)

     2,828  
4,463  

Unibail-Rodamco SE(a)

     1,021,487  
24  

Vornado Realty Trust(a)

     1,615  
   

 

 

  
      1,282,078  
   

 

 

  

Food & Staples Retailing (0.2%):

  
11  

BIM Birlesik Magazalar AS(a)

     199  
30  

Costco Wholesale Corp.(a)

     5,653  
29,420  

CVS Health Corp.(a)

     1,830,218  
3,909  

Jeronimo Martins SGPS SA(a)

     71,280  
37  

Koninklijke Ahold Delhaize
NV(a)

     877  
1,400  

Seven & I Holdings Co., Ltd.(a)

     60,075  
87  

Sysco Corp.(a)

     5,217  
185  

Walgreens Boots Alliance, Inc.(a)

     12,112  
161  

Wal-Mart Stores, Inc.(a)

     14,324  
71  

Wesfarmers, Ltd.(a)

     2,278  
314  

Woolworths, Ltd.(a)

     6,362  
   

 

 

  
      2,008,595  
   

 

 

  

Food Products (0.8%):

  
52,700  

Ajinomoto Co., Inc.(a)

     957,681  
26  

Archer-Daniels-Midland Co.(a)

     1,128  
70  

Associated British Foods plc(a)

     2,447  
377  

ConAgra Foods, Inc.(a)

     13,904  
37,227  

Danone SA(a)

     3,014,815  
133  

General Mills, Inc.^(a)

     5,993  
1,173  

JBS SA(a)

     3,319  
2,874  

Mondelez International, Inc., Class A(a)

     119,931  
30,787  

Nestle SA, Registered Shares(a)

     2,438,061  
238  

Tiger Brands, Ltd.(a)

     7,483  
531  

Tyson Foods, Inc., Class A(a)

     38,864  
90,000  

Uni-President Enterprises
Corp.(a)

     212,411  

Shares

         Fair Value

Common Stocks, continued

Food Products, continued

154,000  

Want Want China Holdings, Ltd.(a)

   $ 124,690  
5,500  

WH Group, Ltd.(a)

     5,912  
   

 

 

  
      6,946,639  
   

 

 

  

Gas Utilities (0.2%):

  
576  

GAIL India, Ltd.(a)

     2,924  
58,200  

Tokyo Gas Co., Ltd.(a)

     1,554,574  
   

 

 

  
      1,557,498  
   

 

 

  

Health Care Equipment & Supplies (0.4%):

  
2,389  

Baxter International, Inc.(a)

     155,381  
93  

Boston Scientific Corp.*(a)

     2,541  
12  

Danaher Corp.(a)

     1,175  
18  

Edwards Lifesciences Corp.*(a)

     2,511  
27,100  

HOYA Corp.(a)

     1,372,634  
4  

Intuitive Surgical, Inc.*(a)

     1,651  
1,550  

Medtronic plc(a)

     124,341  
100  

Olympus Co., Ltd.(a)

     3,834  
948  

Stryker Corp.(a)

     152,552  
11,184  

Zimmer Holdings, Inc.(a)

     1,219,503  
   

 

 

  
      3,036,123  
   

 

 

  

Health Care Providers & Services (0.9%):

  
17,432  

Acadia Healthcare Co., Inc.*^(a)

     682,986  
521  

Aetna, Inc.(a)

     88,049  
4,100  

Alfresa Holdings Corp.(a)

     92,279  
35  

AmerisourceBergen Corp.(a)

     3,017  
8,801  

Anthem, Inc.(a)

     1,933,580  
53  

Cigna Corp.(a)

     8,890  
189  

Express Scripts Holding Co.*(a)

     13,056  
23,823  

HCA Holdings, Inc.(a)

     2,310,830  
6  

Humana, Inc.(a)

     1,613  
217  

McKesson Corp.(a)

     30,569  
4,700  

Medipal Holdings Corp.(a)

     98,118  
39,427  

NMC Health plc(a)

     1,883,914  
592,322  

PT Siloam International Hospital Tbk*(a)

     344,636  
2,100  

Suzuken Co., Ltd.(a)

     88,280  
30,082  

Tenet Healthcare Corp.*(a)

     729,489  
961  

UnitedHealth Group, Inc.(a)

     205,654  
   

 

 

  
      8,514,960  
   

 

 

  

Hotels, Restaurants & Leisure (0.2%):

  
202  

Carnival Corp., Class A(a)

     13,247  
11,153  

Dave & Buster’s Entertainment,
Inc.*(a)

     465,526  
1,000  

Galaxy Entertainment Group, Ltd.(a)

     9,167  
14,000  

Genting Singapore plc(a)

     11,606  
165  

Las Vegas Sands Corp.(a)

     11,864  
421  

McDonald’s Corp.(a)

     65,836  
29,954  

MGM Resorts International(a)

     1,048,988  
322  

Royal Caribbean Cruises, Ltd.(a)

     37,912  
400  

Sands China, Ltd.(a)

     2,172  
38  

Starbucks Corp.(a)

     2,200  
662  

Wyndham Worldwide Corp.(a)

     75,753  
138  

Wynn Resorts, Ltd.(a)

     25,166  
11  

Yum China Holdings, Inc.(a)

     457  
80  

Yum! Brands, Inc.(a)

     6,810  
   

 

 

  
      1,776,704  
   

 

 

  

Household Durables (0.3%):

  
2,800  

Alpine Electronics, Inc.(a)

     53,011  
10,831  

Berkeley Group Holdings plc (The)(a)

     576,382  
1,485  

Coway Co., Ltd.(a)

     122,955  
8,416  

Mohawk Industries, Inc.*(a)

     1,954,364  
400  

Panasonic Corp.(a)

     5,715  
200  

Sony Corp.(a)

     9,741  
   

 

 

  
      2,722,168  
   

 

 

  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

         Fair Value  

Common Stocks, continued

 

Household Products (0.1%):

   
1,476   

Colgate-Palmolive Co.(a)

    $ 105,800  
389   

Hindustan Unilever, Ltd.(a)

      8,004  
27   

Kimberly-Clark Corp.(a)

      2,974  
10,735   

Procter & Gamble Co. (The)(a)

      851,070  
200   

Unicharm Corp.(a)

      5,801  
     

 

 

  
        973,649  
     

 

 

  

Independent Power & Renewable Electricity Producers (0.1%):

   
2,000   

China Resources Power Holdings Co.(a)

      3,678  
13,515   

NextEra Energy Partners LP^(a)

      540,465  
10,260   

Vistra Energy Corp.*(a)

      213,716  
     

 

 

  
        757,859  
     

 

 

  

Industrial Conglomerates (0.6%):

   
227   

3M Co., Class C(a)

      49,831  
117,222   

General Electric Co.(a)

      1,580,153  
2,900   

Jardine Matheson Holdings, Ltd.(a)

      178,883  
92,590   

Koninklijke Philips Electronics
NV(a)

      3,557,802  
2,000   

Toshiba Corp.(a)

      5,812  
     

 

 

  
        5,372,481  
     

 

 

  

Insurance (0.6%):

   
25   

Allstate Corp. (The)(a)

      2,370  
140   

American International Group,
Inc.(a)

      7,619  
16   

Aon plc(a)

      2,245  
278   

Aviva plc(a)

      1,937  
31,968   

AXA SA(a)

      850,946  
92,000   

Cathay Financial Holding Co.,
Ltd.(a)

      165,158  
6,959   

Chubb, Ltd.(a)

      951,782  
2,186   

Hartford Financial Services Group, Inc. (The)(a)

      112,623  
1,727   

Legal & General Group plc(a)

      6,255  
294   

Manulife Financial Corp.(a)

      5,459  
9,919   

Marsh & McLennan Cos., Inc.(a)

      819,210  
24,331   

MetLife, Inc.(a)

      1,116,549  
100   

MS&AD Insurance Group Holdings,
Inc.(a)

      3,110  
5   

Muenchener Rueckversicherungs-Gesellschaft AG(a)

      1,163  
476   

Prudential Financial, Inc.(a)

      49,290  
53   

Prudential plc(a)

      1,325  
364   

Reinsurance Group of America,
Inc.(a)

      56,056  
4,671   

SBI Life Insurance Co., Ltd.*(a)

      48,822  
28   

Swiss Re AG(a)

      2,852  
19,100   

Tokio Marine Holdings, Inc.(a)

      870,056  
1,229   

Travelers Cos., Inc. (The)(a)

      170,659  
8   

Zurich Insurance Group AG(a)

      2,626  
     

 

 

  
        5,248,112  
     

 

 

  

Internet & Direct Marketing Retail (0.7%):

   
3,393   

Amazon.com, Inc.*(a)

      4,910,824  
4   

Booking Holdings, Inc.*(a)

      8,322  
25   

Expedia, Inc.(a)

      2,760  
300   

Rakuten, Inc.(a)

      2,479  
16,204   

TripAdvisor, Inc.*^(a)

      662,582  
     

 

 

  
        5,586,967  
     

 

 

  

Internet Software & Services (1.6%):

   
12,441   

Alibaba Group Holding, Ltd., ADR*^(a)

      2,283,421  
24   

Alphabet, Inc., Class A*(a)

      24,891  
3,896   

Alphabet, Inc., Class C*(a)

      4,019,854  
53,987   

Cloudera, Inc.*(a)

      1,165,039  

Shares

         Fair Value  

Common Stocks, continued

 

Internet Software & Services, continued

 

7,426   

Dropbox, Inc., Class A*^(a)

    $ 232,063  
490   

eBay, Inc.*(a)

      19,718  
24,362   

Facebook, Inc., Class A*(a)

      3,892,804  
5,547   

Lookout, Inc.(a)(b)(c)

      2,884  
100   

Tencent Holdings, Ltd.(a)

      5,323  
660   

VeriSign, Inc.*(a)

      78,250  
     

 

 

  
        11,724,247  
     

 

 

  

IT Services (0.5%):

   
514   

Accenture plc, Class C(a)

      78,900  
151   

Alliance Data Systems Corp.(a)

      32,142  
81   

Amadeus IT Holding SA(a)

      5,987  
1,070   

Amdocs, Ltd.(a)

      71,390  
46   

Automatic Data Processing,
Inc.(a)

      5,220  
97   

Cognizant Technology Solutions Corp., Class A(a)

      7,809  
63   

DXC Technology Co.(a)

      6,333  
9,108   

FleetCor Technologies, Inc.*(a)

      1,844,370  
3,000   

Fujitsu, Ltd.(a)

      18,185  
4,306   

Global Payments, Inc.(a)

      480,205  
198   

HCL Technologies, Ltd.(a)

      2,962  
9,074   

International Business Machines Corp.(a)

      1,392,224  
1,214   

MasterCard, Inc., Class A(a)

      212,644  
1,338   

Visa, Inc., Class A(a)

      160,052  
     

 

 

  
        4,318,423  
     

 

 

  

Life Sciences Tools & Services (0.0%):

   
56   

Agilent Technologies, Inc.(a)

      3,746  
11   

Illumina, Inc.*(a)

      2,601  
439   

Thermo Fisher Scientific, Inc.(a)

      90,636  
     

 

 

  
        96,983  
     

 

 

  

Machinery (0.4%):

   
223   

Caterpillar, Inc.(a)

      32,866  
195   

Cummins, Inc.(a)

      31,608  
19,799   

Doosan Bobcat, Inc.(a)

      589,329  
9,904   

GEA Group AG(a)

      421,282  
7,200   

Hino Motors, Ltd.(a)

      93,987  
302   

Illinois Tool Works, Inc.(a)

      47,310  
81   

Ingersoll-Rand plc(a)

      6,926  
27,500   

Komatsu, Ltd.(a)

      923,865  
18,900   

Kubota Corp.(a)

      333,117  
50   

PACCAR, Inc.(a)

      3,309  
412   

Sandvik AB(a)

      7,563  
697   

Volvo AB, Class B^(a)

      12,730  
334   

WABCO Holdings, Inc.*(a)

      44,713  
     

 

 

  
        2,548,605  
     

 

 

  

Media (1.3%):

   
4,209   

Charter Communications, Inc., Class A*(a)

      1,309,925  
132,922   

Comcast Corp., Class A(a)

      4,541,945  
8,237   

DISH Network Corp., Class A*(a)

      312,100  
15,329   

I-Cable Communications, Ltd.*(a)

      392  
2,520   

Liberty Broadband Corp.,
Class A*(a)

      213,696  
7,997   

Liberty Broadband Corp.,
Class C*(a)

      685,263  
174   

Liberty Global plc, Series C*(a)

      5,295  
24,782   

Liberty Global plc, Class A*(a)

      775,924  
9,038   

Liberty SiriusXM Group,
Class A*(a)

      371,462  
15,145   

Liberty SiriusXM Group,
Class C*(a)

      618,673  
14   

Naspers, Ltd.(a)

      3,432  
9,400   

Nippon Television Holdings,
Inc.(a)

      164,859  
81,093   

RAI Way SpA(a)

      449,636  
3,100   

Toho Co., Ltd.(a)

      103,562  
6,800   

TV Asahi Holdings Corp.(a)

      149,958  
57   

Walt Disney Co. (The)(a)

      5,725  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

          Fair Value  
 

Common Stocks, continued

  
 

Media, continued

  
  51,957    

Zon Multimedia Servicos de Telecommunicacoes e Multimedia SGPS SA(a)

    $ 306,873  
    

 

 

  
       10,018,720  
    

 

 

  
 

Metals & Mining (0.0%):

  
  69    

Anglo American plc^(a)

      1,612  
  187    

Barrick Gold Corp.(a)

      2,330  
  246    

BHP Billiton, Ltd.(a)

      5,441  
  1,900    

DOWA Mining Co.(a)

      68,027  
  314    

Glencore International plc(a)

      1,562  
  72,391    

Platinum Group Metals, Ltd.*(a)

      21,261  
  11,061    

Platinum Group Metals, Ltd.*(a)

      3,220  
  607    

POSCO(a)

      191,709  
  126    

Rio Tinto plc(a)

      6,396  
  131    

Rio Tinto, Ltd.(a)

      7,361  
  222    

Teck Cominco, Ltd., Class B(a)

      5,718  
  14,200    

Tokyo Steel Manufacturing Co., Ltd.^(a)

      114,926  
  526    

Vale SA(a)

      6,758  
  550    

Vedanta, Ltd.(a)

      2,363  
  2,900    

Yamato Kogyo Co., Ltd.(a)

      80,036  
    

 

 

  
       518,720  
    

 

 

  
 

Multiline Retail (0.0%):

  
  54    

Dollar General Corp.(a)

      5,052  
  437    

Kohl’s Corp.(a)

      28,628  
  219    

Target Corp.(a)

      15,205  
    

 

 

  
       48,885  
    

 

 

  
 

Multi-Utilities (0.3%):

  
  182    

AGL Energy, Ltd.(a)

      3,049  
  1,789    

Centrica plc(a)

      3,572  
  2,014    

Dominion Energy, Inc.(a)

      135,804  
  203    

Engie Group(a)

      3,391  
  13,880    

Innogy Se(a)

      656,502  
  3,630    

National Grid plc(a)

      40,816  
  10,857    

Sempra Energy^(a)

      1,207,516  
    

 

 

  
       2,050,650  
    

 

 

  
 

Oil, Gas & Consumable Fuels (1.5%):

  
  37,434    

Anadarko Petroleum Corp.(a)

      2,261,388  
  442    

BP plc(a)

      2,976  
  50    

Canadian Natural Resources,
Ltd.(a)

      1,572  
  294    

Chevron Corp.(a)

      33,528  
  6,000    

CNOOC, Ltd.(a)

      8,855  
  30,076    

Coal India, Ltd.(a)

      131,140  
  171    

ConocoPhillips Co.(a)

      10,139  
  44    

Devon Energy Corp.(a)

      1,399  
  129,954    

EnCana Corp.^(a)

      1,429,494  
  2,755    

EQT Corp.(a)

      130,890  
  252    

Exxon Mobil Corp.(a)

      18,802  
  3,485    

Fieldwood Energy LLC(a)(c)

      81,305  
  24,000    

Formosa Petrochemical Corp.(a)

      98,890  
  960    

Hindustan Petroleum Corp., Ltd.(a)

      5,122  
  496    

Indian Oil Corp., Ltd.(a)

      1,358  
  68    

Kinder Morgan, Inc.(a)

      1,024  
  1,393    

Marathon Petroleum Corp.(a)

      101,842  
  39,634    

Oil & Natural Gas Corp., Ltd.(a)

      108,471  
  9    

ONEOK, Inc.(a)

      512  
  430    

Petroleo Brasileiro SA*(a)

      2,789  
  587    

Phillips 66(a)

      56,305  
  2,826    

Pioneer Natural Resources Co.(a)

      485,450  
  55    

Polski Koncern Naftowy Orlen
SA(a)

      1,355  
  124,522    

Reliance Industries, Ltd.(a)

      1,693,389  
  162    

Repsol SA(a)

      2,878  
  36,669    

Royal Dutch Shell plc, Class A(a)

      1,169,317  

Shares

          Fair Value  
 

Common Stocks, continued

  
 

Oil, Gas & Consumable Fuels, continued

  
  23,496    

Royal Dutch Shell plc, Class A,
ADR(a)

    $ 1,499,280  
  70    

Royal Dutch Shell plc, Class A(a)

      2,196  
  429    

Royal Dutch Shell plc, Class B(a)

      13,823  
  15    

SK Energy Co., Ltd.(a)

      2,972  
  13,407    

Snam SpA(a)

      61,665  
  185    

Suncor Energy, Inc.(a)

      6,389  
  37,100    

Thai Oil Public Co., Ltd.(a)

      108,074  
  263    

Total SA(a)

      14,945  
  650    

Total SA, ADR(a)

      37,499  
  46    

Tupras-Turkiye Petrol Rafine(a)

      1,284  
  1,278    

Valero Energy Corp.(a)

      118,560  
  118,939    

Williams Cos., Inc. (The)(a)

      2,956,823  
  139    

Woodside Petroleum, Ltd.(a)

      3,140  
    

 

 

  
       12,666,840  
    

 

 

  
 

Personal Products (0.2%):

  
  1,313    

Amorepacific Corp.(a)

      380,583  
  18,645    

Edgewell Personal Care Co.*^(a)

      910,249  
  9    

Estee Lauder Co., Inc. (The), Class
A(a)

      1,347  
  180    

LG Household & Health Care, Ltd.(a)

      202,174  
  72    

Unilever NV(a)

      4,070  
    

 

 

  
       1,498,423  
    

 

 

  
 

Pharmaceuticals (1.1%):

  
  4    

Allergan plc(a)

      673  
  115,800    

Astellas Pharma, Inc.(a)

      1,778,554  
  322    

Aurobindo Pharma, Ltd.(a)

      2,767  
  26,177    

Bayer AG, Registered Shares(a)

      2,959,553  
  7    

Bristol-Myers Squibb Co.(a)

      443  
  16    

Eli Lilly & Co.(a)

      1,238  
  526    

GlaxoSmithKline plc(a)

      10,218  
  2,343    

Gw Pharmaceuticals, ADR(a)

      263,985  
  7,728    

Johnson & Johnson Co.(a)

      990,343  
  1,582    

Merck & Co., Inc.(a)

      86,172  
  200    

Mitsubishi Tanabe Pharma Corp.(a)

      4,047  
  88    

Novartis AG, Registered Shares(a)

      7,122  
  1,600    

Otsuka Holdings Co., Ltd.(a)

      80,372  
  79,862    

Pfizer, Inc.(a)

      2,834,302  
  54    

Roche Holding AG(a)

      12,389  
  8,158    

Sanofi-Aventis SA(a)

      655,458  
  200    

Shionogi & Co., Ltd.(a)

      10,440  
    

 

 

  
       9,698,076  
    

 

 

  
 

Professional Services (0.0%):

  
  29    

Experian plc(a)

      626  
  290    

Manpower, Inc.(a)

      33,379  
  1    

SGS SA, Registered Shares(a)

      2,459  
    

 

 

  
       36,464  
    

 

 

  
 

Real Estate Management & Development (0.6%):

  
  295,500    

CapitaLand, Ltd.(a)

      808,909  
  2,000    

Country Garden Holdings Co., Ltd.(a)

      4,177  
  45,000    

Hang Lung Properties, Ltd.(a)

      105,598  
  500    

Longfor Properties Co., Ltd.(a)

      1,544  
  56,000    

Sino Land Co., Ltd.(a)

      91,129  
  116,666    

Sun Hung Kai Properties, Ltd.(a)

      1,858,535  
  12,500    

Swire Pacific, Ltd., Class A(a)

      126,833  
  36,398    

The St. Joe Co.*^(a)

      686,102  
  23,000    

Wharf Holdings, Ltd. (The)(a)

      79,679  
  19,000    

Wharf Real Estate Investment Co., Ltd.(a)

      124,390  
    

 

 

  
       3,886,896  
    

 

 

  
 

Road & Rail (0.5%):

  
  7    

Canadian National Railway Co.(a)

      512  
  66,400    

ComfortDelGro Corp., Ltd.(a)

      104,490  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

           Fair Value  
 

Common Stocks, continued

  
 

Road & Rail, continued

  
  22,200     

East Japan Railway Co.(a)

    $ 2,071,894  
  100     

Kintetsu Corp.(a)

      3,924  
  14,300     

Kyushu Railway Co.(a)

      446,101  
  10     

Norfolk Southern Corp.(a)

      1,358  
  5,300     

Seino Holdings Co., Ltd.(a)

      98,024  
  7,700     

West Japan Railway Co.(a)

      544,284  
     

 

 

  
        3,270,587  
     

 

 

  
 

Semiconductors & Semiconductor Equipment (0.6%):

  
  237     

Applied Materials, Inc.(a)

      13,180  
  7     

Broadcom, Ltd.(a)

      1,650  
  1,622     

Intel Corp.(a)

      84,474  
  554     

KLA-Tencor Corp.(a)

      60,392  
  23     

Lam Research Corp.(a)

      4,673  
  850     

Micron Technology, Inc.*(a)

      44,319  
  19     

NVIDIA Corp.(a)

      4,400  
  52,380     

QUALCOMM, Inc.(a)

      2,902,375  
  28,200     

Renesas Electronics Corp.*(a)

      284,482  
  11,400     

ROHM Co., Ltd.(a)

      1,084,787  
  79     

SK Hynix, Inc.(a)

      6,051  
  23,000     

Taiwan Semiconductor Manufacturing Co., Ltd.(a)

      195,491  
  123     

Texas Instruments, Inc.(a)

      12,778  
     

 

 

  
        4,699,052  
     

 

 

  
 

Software (1.6%):

  
  6,641     

Activision Blizzard, Inc.(a)

      448,002  
  511     

Adobe Systems, Inc.*(a)

      110,417  
  297     

CA, Inc.(a)

      10,068  
  74     

Check Point Software Technologies, Ltd.*(a)

      7,351  
  127     

Dell Technologies, Inc., Class V*(a)

      9,298  
  4,667     

Electronic Arts, Inc.*(a)

      565,827  
  535     

Intuit, Inc.(a)

      92,742  
  83,392     

Microsoft Corp.(a)

      7,611,187  
  333     

Oracle Corp.(a)

      15,235  
  191     

SAP AG(a)

      19,985  
  42,660     

Snap, Inc., Class A*^(a)

      677,014  
  78     

Symantec Corp.^(a)

      2,016  
  68,532     

Uber Technologies, Inc.(a)(b)(c)

      2,346,535  
  84     

VMware, Inc., Class A*(a)

      10,187  
  53,366     

Zynga, Inc.*(a)

      195,320  
     

 

 

  
        12,121,184  
     

 

 

  
 

Specialty Retail (0.4%):

  
  623     

Home Depot, Inc. (The)(a)

      111,044  
  2,176     

Lowe’s Cos., Inc.(a)

      190,944  
  7,575     

O’Reilly Automotive, Inc.*(a)

      1,873,903  
  323     

Ross Stores, Inc.(a)

      25,188  
  700     

Shimamura Co., Ltd.(a)

      87,022  
  6,130     

TJX Cos., Inc. (The)(a)

      499,963  
  11,292     

Williams-Sonoma, Inc.(a)

      595,765  
     

 

 

  
        3,383,829  
     

 

 

  
 

Technology Hardware, Storage & Peripherals (1.3%):

  
  54,271     

Apple, Inc.(a)

      9,105,588  
  159     

Hewlett Packard Enterprise Co.(a)

      2,789  
  445     

HP, Inc.(a)

      9,754  
  3,000     

Pegatron Corp.(a)

      7,536  
  48,720     

Pure Storage, Inc., Class A*^(a)

      971,964  
  7     

Samsung Electronics Co., Ltd.(a)

      16,314  
  458     

Western Digital Corp.(a)

      42,260  
     

 

 

  
        10,156,205  
     

 

 

  
 

Textiles, Apparel & Luxury Goods (0.1%):

  
  4     

Adidas AG(a)

      969  

Shares

           Fair Value  
 

Common Stocks, continued

  
 

Textiles, Apparel & Luxury Goods, continued

  
  16,861     

Luxottica Group SpA(a)

    $ 1,049,169  
  239     

PVH Corp.(a)

      36,192  
  66     

Swatch Group AG (The), Registered Shares(a)

      5,538  
  83     

VF Corp.(a)

      6,152  
     

 

 

  
        1,098,020  
     

 

 

  
 

Thrifts & Mortgage Finance (0.1%):

  
  30,486     

Housing Development Finance Corp., Ltd.(a)

      857,523  
     

 

 

  
 

Tobacco (0.1%):

   
  174     

Imperial Tobacco Group plc,
Class A(a)

      5,929  
  7,507     

KT&G Corp.(a)

      703,724  
  108     

Philip Morris International,
Inc.(a)

      10,735  
     

 

 

  
        720,388  
     

 

 

  
 

Trading Companies & Distributors (0.0%):

  
  700     

Marubeni Corp.(a)

      5,098  
  433     

United Rentals, Inc.*(a)

      74,792  
     

 

 

  
        79,890  
     

 

 

  
 

Transportation Infrastructure (0.0%):

  
  36     

Aena SA(a)

      7,254  
  24     

Atlantia SpA(a)

      744  
  3,800     

Kamigumi Co., Ltd.(a)

      85,156  
  9,100     

Malaysia Airports Holdings Berhad(a)

      20,911  
     

 

 

  
        114,065  
     

 

 

  
 

Wireless Telecommunication Services (0.8%):

  
  35,100     

Advanced Information Service plc(a)

      231,858  
  1,500     

China Mobile, Ltd.(a)

      13,725  
  133,000     

Far EasTone Telecommunications Co., Ltd.(a)

      352,330  
  88,100     

Intouch Holdings Public Co., Ltd.(a)

      163,727  
  5,400     

KDDI Corp.(a)

      138,699  
  659     

SK Telecom Co., Ltd.(a)

      142,566  
  112,000     

Taiwan Mobile Co., Ltd.(a)

      420,137  
  1,082,818     

Vodafone Group plc(a)

      2,964,543  
  19,338     

Vodafone Group plc, ADR^(a)

      537,983  
     

 

 

  
        4,965,568  
     

 

 

  
 

        Total Common Stocks
        (Cost $185,254,937)

      223,489,895  
  

 

 

  
 

Preferred Stocks (0.4%):

  
 

Banks (0.1%):

  
  14,150     

Citigroup Capital XIII, Series A, 8.14%^(a)

      384,739  
  84,000     

USB Capital IX, 3.50%(US0003M+102bps)(a)

      75,856  
     

 

 

  
        460,595  
     

 

 

  
 

Consumer Finance (0.1%):

  
  16,151     

GMAC Capital Trust I, Series 2, 7.62%^(a)

      419,603  
     

 

 

  
 

Health Care Providers & Services (0.0%):

  
  16,042     

Anthem, Inc., 5.03%^(a)

      860,814  
  143,925     

Grand Rounds, Inc., Series C*(a)(b)(c)

      349,738  
     

 

 

  
        1,210,552  
     

 

 

  
 

Internet Software & Services (0.1%):

  
  63,925     

Lookout, Inc., Preferred Shares, Series F*(a)(b)(c)

      668,016  
     

 

 

  
 

Software (0.1%):

  
  116,157     

Palantir Technologies, Inc., Series I*(a)(b)(c)

      640,025  
     

 

 

  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

         Fair Value  

Preferred Stocks, continued

   

Technology Hardware, Storage & Peripherals (0.0%):

   
3   

Samsung Electronics Co., Ltd., 2.07%(a)

    $     5,788  
     

 

 

  

Total Preferred Stocks (Cost $3,352,524)

      3,404,579  
     

 

 

  

Warrant (0.0%):

   

Paper & Forest Products (0.0%):

   
157,250   

TFS Corp., Ltd.(a)(d)

      —    
     

 

 

  

Total Warrant (Cost $–)

      —    
     

 

 

  

Convertible Preferred Stocks (0.5%):

   

Banks (0.0%):

   
125   

Wells Fargo & Co., Series L, Class A, 0.12%(a)

      161,250  
     

 

 

  

Equity Real Estate Investment Trusts (0.1%):

   
526   

Crown Castle International Corp., Series A, 8.68%^(a)

      588,031  
6,022   

Welltower, Inc., Series I, 6.50%^(a)

      335,064  
     

 

 

  
        923,095  
     

 

 

  

Internet Software & Services (0.1%):

   
144,482   

Domo, Inc., Series E(a)(b)(c)

      869,782  
     

 

 

  

Multi-Utilities (0.1%):

   
12,830   

Dominion Resources, Inc., Series A, 6.75%^(a)

      595,440  
     

 

 

  

Wireless Telecommunication Services (0.2%):

   
6,269   

Mandatory Exchange Trust, 5.75%(a)(e)

      1,294,903  
     

 

 

  

Total Convertible Preferred Stocks
(Cost $3,421,240)

      3,844,470  
     

 

 

  

Right (0.0%):

   

Diversified Financial Services (0.0%):

   
3,646   

Fubon Financial Holdings, Expires on 4/16/18*(a)(c)

      —    
     

 

 

  

Total Right (Cost $–)

      —    
     

 

 

  

Contracts,

Shares,

Notional

Amount or

Principal

Amount    

         Fair Value  

Private Placements (0.2%):

   

Household Durables (0.0%):

   
$    3,065,000   

AliphCom, Inc., 12.00%, 4/1/20(a)(b)(c)

      —    
23,389   

Jawbone, 0.00%(a)(b)(c)

      —    
     

 

 

  
        —    
     

 

 

  

Internet Software & Services (0.2%):

   
63,800   

DropBox, Inc., Class B, 0.00%(a)(b)(c)

      1,897,385  
     

 

 

  

Oil, Gas & Consumable Fuels (0.0%):

   
268,000   

AliphCom, Inc., 12.00%, 4/1/20(a)(b)(c)

      —    
     

 

 

  

Total Private Placements (Cost $5,160,985)

      1,897,385  
     

 

 

  

Convertible Bonds (0.2%):

   

Food Products (0.0%):

   
400,000   

REI Agro, Ltd., Registered Shares, 5.50%, 11/13/14(a)(b)(c)(f)

      —    
     

 

 

  

Oil, Gas & Consumable Fuels (0.1%):

   
631,620   

Dana Gas Sukuk, Ltd., 7.00%, 10/31/18(a)(b)

      551,088  
     

 

 

  

Contracts,

Shares,

Notional

Amount or

Principal

Amount    

         Fair Value  

Convertible Bonds, continued

   

Pharmaceuticals (0.1%):

   
$    600,000   

Bayer Capital Corp. BV, 5.63%, 11/22/19+(a)(e)

    $ 753,240  
     

 

 

  

Real Estate Management & Development (0.0%):

   
250,000   

CapitaLand, Ltd., 1.95%, 10/17/23+(a)(e)

      194,299  
     

 

 

  

Total Convertible Bonds
(Cost $1,852,036)

      1,498,627  
     

 

 

  

Bank Loans (0.1%):

   

Capital Markets (0.0%):

   
45,877   

Sheridan Production Partners, 4.83%, 12/2/20(a)

      39,798  
17,107   

Sheridan Production Partners, 4.83%, 12/16/20(a)

      14,841  
329,820   

Sheridan Production Partners, 4.83%, 12/16/20(a)(d)

      286,119  
     

 

 

  
        340,758  
     

 

 

  

Hotels, Restaurants & Leisure (0.1%):

   
521,370   

Hilton Worldwide Finance LLC, 3.33%, 10/25/20(a)

      523,878  
     

 

 

  

Oil, Gas & Consumable Fuels (0.0%):

   
254,386   

Fieldwood Energy LLC, 8.38%, 9/20/20(a)

      50,877  
151,147   

Fieldwood Energy LLC, 0.00%, 9/30/20(a)

      143,591  
111,961   

Fieldwood Holdings LLC, 8.46%, 8/31/20(a)

      111,028  
     

 

 

  
        305,496  
     

 

 

  

Total Bank Loans
(Cost $1,419,106)

      1,170,132  
     

 

 

  

Corporate Bonds (1.0%):

   

Banks (0.1%):

   
162,000   

Bank of America Corp., 4.00%, 1/22/25, MTN(a)

      161,681  
646,000   

Citigroup, Inc., Series O, 5.87% (US0003M+406 bps), 12/29/49, Callable 3/27/20 @ 100^(a)

      666,996  
85,000   

Santander Holdings USA, Inc., 3.70%, 3/28/22, Callable 2/28/22 @ 100(a)

      85,179  
     

 

 

  
        913,856  
     

 

 

  

Beverages (0.1%):

   
175,000   

Anheuser-Busch InBev Worldwide, Inc., 3.50%, 1/12/24, Callable 12/12/23 @ 100(a)

      176,228  
285,000   

Anheuser-Busch InBev Worldwide, Inc., 4.00%, 4/13/28, Callable 1/13/28 @ 100(a)

      288,479  
     

 

 

  
        464,707  
     

 

 

  

Capital Markets (0.1%):

   
323,000   

Goldman Sachs Group, Inc. (The), Series M, 5.38% (US0003M+392 bps), 12/31/49, Callable 5/10/20 @ 100(a)

      331,585  
228,000   

Morgan Stanley, Series H, 5.45% (US0003M+361 bps), 7/29/49, Callable 7/15/19 @ 100(a)

      232,109  
     

 

 

  
        563,694  
     

 

 

  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

         Fair Value  

Corporate Bonds, continued

   

Communications Equipment (0.0%):

   
$    53,000   

Hughes Satellite Systems Corp., 7.63%, 6/15/21(a)

    $ 56,878  
     

 

 

  

Consumer Finance (0.1%):

   
191,000   

Ally Financial, Inc., 3.50%,
1/27/19(a)

      191,239  
200,000   

American Express Co., Series C,
4.90% (US0003M+329 bps),
12/29/49, Callable 3/15/20 @ 100^(a)

      201,000  
125,000   

General Motors Financial Co., Inc.,
3.45%, 4/10/22, Callable
2/10/22 @ 100(a)

      123,972  
87,000   

Synchrony Financial, 3.75%,
8/15/21, Callable 6/15/21
@ 100(a)

      87,728  
     

 

 

  
        603,939  
     

 

 

  

Diversified Telecommunication Services (0.3%):

   
475,000   

AT&T, Inc., 3.00%, 6/30/22, Callable 4/30/22 @ 100(a)

      466,469  
75,000   

AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100(a)

      77,412  
831,000   

AT&T, Inc., 3.40%, 8/14/24, Callable 6/14/24 @ 100(a)

      837,058  
149,000   

Verizon Communications, Inc., 2.63%, 8/15/26(a)

      136,072  
     

 

 

  
        1,517,011  
     

 

 

  

Food & Staples Retailing (0.1%):

   
1,125,000   

CVS Health Corp., 3.70%, 3/9/23, Callable 2/9/23 @ 100(a)

      1,131,109  
     

 

 

  

Health Care Equipment & Supplies (0.1%):

   
135,000   

Becton Dickinson & Co., 3.36%, 6/6/24, Callable 4/6/24 @ 100(a)

      129,937  
306,000   

Becton, Dickinson & Co., 3.13%, 11/8/21(a)

      301,088  
245,000   

Becton, Dickinson & Co., 2.89%, 6/6/22, Callable 5/6/22 @
100(a)

      237,714  
     

 

 

  
        668,739  
     

 

 

  

Insurance (0.0%):

   
173,000   

Prudential Financial, Inc., 5.87% (US0003M+418 bps), 9/15/42, Callable 9/15/22 @ 100^(a)

      182,083  
115,000   

Prudential Financial, Inc., 5.63% (US0003M+392 bps), 6/15/43, Callable 6/15/23 @ 100(a)

      120,606  
     

 

 

  
        302,689  
     

 

 

  

Internet Software & Services (0.0%):

   
159,000   

eBay, Inc., 2.75%, 1/30/23, Callable 12/30/22 @ 100(a)

      153,524  
     

 

 

  

Media (0.0%):

   
200,000   

NBCUniversal Enterprise, Inc., 5.25%, 12/31/99, Callable 3/19/21 @ 100(a)(e)

      207,500  
     

 

 

  

Personal Products (0.0%):

   
144,000   

Edgewell Personal Care Co., 4.70%, 5/19/21^(a)

      141,480  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

         Fair Value  

Corporate Bonds, continued

   

Personal Products, continued

   
$    149,000   

Edgewell Personal Care Co., 4.70%, 5/24/22^(a)

    $ 144,530  
     

 

 

  
        286,010  
     

 

 

  

Pharmaceuticals (0.0%):

   
149,000   

Forest Laboratories, Inc., 5.00%, 12/15/21, Callable 9/16/21 @ 100(a)(e)

      155,535  
     

 

 

  

Technology Hardware, Storage & Peripherals (0.1%):

   
531,000   

Apple, Inc., 3.35%, 2/9/27, Callable 11/9/26 @ 100^(a)

      524,580  
510,000   

Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100(a)

      498,335  
     

 

 

  
        1,022,915  
     

 

 

  

Total Corporate Bonds (Cost $8,075,330)

      8,048,106  
  

 

 

  

Foreign Bonds (4.0%):

   

Banks (0.1%):

   
330,000   

Lloyds TSB Bank plc, Series E, 13.00%(GUKG5+1,340bps), 1/29/49, Callable 1/21/29 @ 126+(a)

      845,716  
     

 

 

  

Sovereign Bond (3.9%):

   
2,043,000   

Australian Government, Series 133,
5.50%, 4/21/23+(a)(e)

      1,803,984  
4,893,000   

Australian Government, Series 137,
2.75%, 4/21/24+(a)(e)

      3,823,300  
1,228,000   

Australian Government, 3.00%,
3/21/47+(a)(e)

      907,232  
6,911,000   

Brazil Nota do Tesouro Nacional,
Series NTNF, -1.39%, 1/1/23+(a)(g)

      2,237,087  
8,407,000   

Brazil Nota do Tesouro Nacional,
Series NTNF, -0.62%, 1/1/27+(a)(g)

      2,689,598  
1,778,707   

Bundesrepub. Deutshland, 0.32%,
8/15/26+(a)(e)

      2,131,446  
3,933,000   

Canadian Government, 0.50%,
8/1/18+(a)

      3,044,823  
1,018,000   

Canadian Government, 0.75%,
3/1/21+(a)

      764,804  
861,000   

Italy Buoni Poliennali Del Tesoro, 0.95%, 3/1/23+(a)

      1,074,436  
532,000   

Italy Buoni Poliennali Del Tesoro, 1.85%, 5/15/24+(a)

      687,374  
273,450,000   

Japan Treasury Discount Bill, Series 369, 0.10%, 10/15/18+(a)

      2,573,654  
27,709,300   

Mexican Bonos Desarr, 8.50%,
12/13/18+(a)(h)

      1,531,913  
19,400,000   

Mexican Bonos Desarr, Series M,
6.50%, 6/10/21+(a)(h)

      1,045,316  
3,672,000   

Poland Government Bond, Series
0725, 3.25%, 7/25/25+(a)

      1,098,713  
11,983,000   

Poland Government Bond, 2.50%,
7/25/27+(a)

      3,331,860  
310,000   

Republic of Argentina, 3.38%,
1/15/23+(a)

      377,659  
100,000   

Republic of Argentina, 5.25%,
1/15/28+(a)

      120,208  
703,708   

Republic of Argentina, 7.82%,
12/31/33+(a)

      976,158  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount    

       Fair Value  

Foreign Bonds, continued

  

Sovereign Bond, continued

  

$    27,403,100

  

United Mexican States, 6.50%, 6/9/22+(a)(h)

   $ 1,468,474  
   

 

 

  
      31,688,039  
   

 

 

  

Total Foreign Bonds
(Cost $31,144,266)

     32,533,755  
 

 

 

  

Yankee Dollars (1.1%):

  

Banks (0.1%):

  

273,000

  

Export-Import Bank of Korea, 2.63%, 12/30/20(a)

     268,727  

614,000

  

HSBC Holdings plc, 6.38% (USISDA05+371 bps), 12/29/49, Callable 9/17/24 @ 100(a)

     621,675  
   

 

 

  
      890,402  
   

 

 

  

Capital Markets (0.0%):

  

207,000

  

UBS Group AG, 4.13%, 9/24/25(a)(e)

     208,149  
   

 

 

  

Diversified Telecommunication Services (0.1%):

  

260,000

  

Intelsat Jackson Holdings SA, 7.50%, 4/1/21, Callable 5/7/18 @ 101.25(a)

     235,463  

89,000

  

Intelsat Jackson Holdings SA, 8.00%, 2/15/24, Callable 2/15/19 @ 104^(a)(e)

     93,561  

289,000

  

Telecom Italia SpA, 5.30%, 5/30/24^(a)(e)

     294,058  
   

 

 

  
      623,082  
   

 

 

  

Food Products (0.0%):

  

408,000

  

Danone SA, 2.59%, 11/2/23, Callable 9/2/23 @ 100(a)(e)

     386,586  
   

 

 

  

Industrial Conglomerates (0.0%):

  

200,000

  

Odebrecht Finance, Ltd., 4.38%, 4/25/25(a)(e)

     63,000  
   

 

 

  

Oil, Gas & Consumable Fuels (0.1%):

  

339,000

  

Petroleos Mexicanos, 5.72% (US0003M+365 bps), 3/11/22^(a)

     370,358  

726,000

  

Petroleos Mexicanos, 4.63%, 9/21/23(a)

     727,517  
   

 

 

  
      1,097,875  
   

 

 

  

Paper & Forest Products (0.1%):

  

1,018,000

  

TFS Corp., Ltd., 8.75%, 8/1/23, Callable 8/1/19 @ 106.56(a)(b)

     712,600  
   

 

 

  

Pharmaceuticals (0.0%):

  

300,000

  

Actavis Funding SCS, 3.45%, 3/15/22, Callable 1/15/22 @ 100(a)

     297,435  
   

 

 

  

Road & Rail (0.0%):

  

521,825

  

Inversiones Alsacia SA, 8.00%, 12/31/18, Callable 4/23/18 @ 100(a)(b)

     14,350  
   

 

 

  

Sovereign Bond (0.7%):

  

1,071,000

  

Federal Republic of Brazil, 4.63%, 1/13/28, Callable 10/13/27 @ 100^(a)

     1,049,580  

747,000

  

Federal Republic of Brazil, 5.00%, 1/27/45(a)

     671,187  

Contracts,

Shares,

Notional

Amount or

Principal

Amount    

       Fair Value  

Yankee Dollars, continued

  

Sovereign Bond, continued

  

$        206,000

  

Federal Republic of Brazil, 5.63%, 2/21/47(a)

   $ 199,717  

113,000

  

Republic of Argentina, 5.63%, 1/26/22(a)

     114,639  

729,000

  

Republic of Argentina, 7.50%, 4/22/26(a)

     777,843  

527,000

  

Republic of Argentina, 6.88%, 1/26/27^(a)

     537,277  

1,206,000

  

Republic of Argentina, 5.88%, 1/11/28^(a)

     1,134,242  
   

 

 

  
      4,484,485  
   

 

 

  

Total Yankee Dollars
(Cost $9,715,179)

     8,777,964  
 

 

 

  

U.S. Treasury Obligations (12.2%):

  

U.S. Treasury Bills (4.3%)

 

7,000,000

   1.20%, 4/5/18(a)     6,999,052  

6,110,000

   1.75%, 4/19/18(a)     6,105,286  

22,000,000

   1.47%, 4/26/18(a)     21,976,606  
   

 

 

  
      35,080,944  
   

 

 

  

U.S. Treasury Notes (7.9%)

 

1,000,000

   1.25%, 12/15/18(i)     994,492  

837,100

   1.13%, 7/31/21(a)     801,818  

10,259,000

   2.38%, 1/31/23(a)     10,174,844  

19,458,100

   2.63%, 2/28/23(a)     19,517,386  

4,856,300

   2.50%, 1/31/25(a)     4,801,667  

8,423,700

   2.75%, 2/28/25(a)     8,458,908  

6,729,800

   2.63%, 3/31/25(a)     6,699,137  

12,814,900

   2.75%, 2/15/28(a)(j)     12,821,408  
   

 

 

  
      64,269,660  
   

 

 

  

Total U.S. Treasury Obligations
(Cost $99,114,509)

     99,350,604  
 

 

 

  

Purchased Options (0.0%):

  

Total Purchased Options
(Cost $601,529)

     722,786  
 

 

 

  

Purchased Currency Options (0.1%):

  

Total Purchased Currency Options
(Cost $204,178)

     364,346  
 

 

 

  

Purchased Swaptions (0.0%):

  

Total Purchased Swaptions
(Cost $421,399)

     124,237  
 

 

 

  

Exchange Traded Funds (1.8%):

  

2,334

  

ETFS Platinum Trust(i)

     206,909  

2,764

  

ETFS Physical Palladium Shares(i)

     250,225  

191,469

  

iShares Gold Trust(i)

     2,437,400  

92,494

  

SPDR Gold Trust(i)

     11,634,821  
   

 

 

  

Total Exchange Traded Funds
(Cost $13,971,370)

     14,529,355  
 

 

 

  

Securities Held as Collateral for Securities on Loan (1.9%):

  

$    15,487,485

  

AZL MVP BlackRock Global Strategy Plus Fund Securities Lending Collateral Account(k)

     15,487,485  
   

 

 

  

Total Securities Held as Collateral for Securities on Loan
(Cost $15,487,485)

     15,487,485  
 

 

 

  

Affiliated Investment Companies (45.0%):

  

12,706,583

  

AZL MSCI Global Equity Index Fund

     140,916,006  

20,984,540

  

AZL Enhanced Bond Index Fund

     224,954,266  
   

 

 

  

Total Affiliated Investment Companies
(Cost $342,246,063)

     365,870,272  
 

 

 

  
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount    

       Fair Value  

Unaffiliated Investment Company (0.7%):

  

5,731,614

  

Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.46%(l)

   $ 5,731,614  
   

 

 

  

Total Unaffiliated Investment Company
(Cost $5,731,614)

     5,731,614  
 

 

 

  

Total Investment Securities
(Cost $727,173,750) - 96.7%

     786,845,612  

Net other assets (liabilities) - 3.3%

     25,797,395  
 

 

 

  

Net Assets - 100.0%

   $ 812,643,007  
 

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

ADR

    -  

American Depositary Receipt

GUKG5

    -  

UK Govt Bonds 5 Year Note Generic Bid Yield

MTN

    -  

Medium Term Note

SPDR

    -  

Standard & Poor’s Depository Receipts

US0003M

    -  

3 Month US Dollar LIBOR

USISDA05

    -  

5 Year ICE Swap Rate

 

* Non-income producing security.
^ This security or a partial position of this security was on loan as of March 31, 2018. The total value of securities on loan as of March 31, 2018, was $15,120,091.
+ The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars.
(a) These securities are held by the AZL BlackRock Global Allocation Fund (the “VIP Subsidiary”).
(b) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of March 31, 2018, these securities represent 0.99% of the net assets of the fund.
(c) Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of March 31, 2018. The total of all such securities represent 0.84% of the net assets of the fund.
(d) The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of March 31, 2018, these securities represent 0.04% of the net assets of the Fund.
(e) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.
(f) Defaulted bond.
(g) Principal amount is stated in 1,000 Brazilian Real Units.
(h) Principal amount is stated in 100 Mexican Peso Units.
(i) All or a portion of these securities are held by the AZL Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”).
(j) All or a portion of this security has been pledged as collateral for open derivative positions.
(k) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before March 31, 2018.
(l) The rate represents the effective yield at March 31, 2018.

Amounts shown as “—” are $0 or round to less than $1.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of March 31, 2018:

 

Country

   Percentage  

Argentina

      0.6 % 

Australia

      0.9 % 

Belgium

      0.2 % 

Bermuda

      —   %^ 

Brazil

      1.1 % 

Canada

      0.7 % 

Cayman Islands

      —   %^ 

Chile

      —   %^ 

China

      0.3 % 

Czech Republic

      —   %^ 

Denmark

      —   %^ 

European Community

      0.1 % 

Finland

      0.1 % 

France

      1.0 % 

Germany

      0.9 % 

Guernsey

      —   %^ 

Hong Kong

      0.4 % 

India

      0.6 % 

Indonesia

      —   %^ 

Ireland (Republic of)

      —   %^ 

Israel

      —   %^ 

Italy

      0.8 % 

Japan

      5.1 % 

Jersey

      0.1 % 

Liberia

      —   %^ 

Luxembourg

      0.1 % 

Malaysia

      —   %^ 

Mexico

      0.6 % 

Netherlands

      0.8 % 

Norway

      —   %^ 

Panama

      —   %^ 

Poland

      0.6 % 

Portugal

      —   %^ 

Republic of Korea (South)

      0.3 % 

Singapore

      0.1 % 

South Africa

      —   %^ 

Spain

      0.2 % 

Sweden

      —   %^ 

Switzerland

      0.7 % 

Taiwan, Province Of China

      0.4 % 

Thailand

      0.1 % 

Turkey

      —   %^ 

United Arab Emirates

      0.2 % 

United Kingdom

      1.5 % 

United States

      81.5 % 
  

 

 

  
     100.0 % 
  

 

 

  

 

^ Represents less than 0.05%.
 

 

Continued

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $40,721,713 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:

Short Futures

 

Description

   Expiration
Date		     Number
of
Contracts		     Notional
Amount		     Unrealized
Appreciation/
(Depreciation)		  

DJ EURO STOXX 50 June Futures (Euro)(a)

     6/15/18       3       (121,098 )    $ 719  

NASDAQ 100 E-Mini June Futures (U.S. Dollar)(a)

     6/15/18       20       (2,637,600 )      188,714  

Nikkei 225 Index June Futures (Japanese Yen)(a)

     6/7/18       58       (5,853,699 )      (51,249 ) 

S&P 500 Index E-Mini June Futures (U.S. Dollar)(a)

     6/15/18       11       (1,453,650 )      60,806  
       

 

 

  
        $ 198,990  
       

 

 

  

Long Futures

 

Description

   Expiration
Date		     Number of
Contracts		     Notional
Amount		     Unrealized
Appreciation/
(Depreciation)		  

Mini MSCI Emerging Markets Index June Futures (U.S. Dollar)(a)

     6/15/18       17       1,009,630     $ (33,034 ) 

S&P 500 Index E-Mini June Futures (U.S. Dollar)

     6/18/18       153       20,218,950       (759,922 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

     6/20/18       166       20,109,344       161,180  
       

 

 

  
        $ (631,776 ) 
       

 

 

  

Total Net Futures Contracts

         $ (432,786 ) 
       

 

 

  

Option Contracts(a)

At March 31, 2018, the Fund’s over-the-counter options purchased were as follows:

 

Description

  

Counterparty

   Put/
Call		     Strike Price     Expiration
Date		     Contracts     Notional
Amount(b)		     Fair Value  

BP plc

   UBS Warburg     Call       40.00 USD      1/18/19       33,891     $ 1,355,640     $ 103,248  

Chevron Corp.

   UBS Warburg     Call       125.00 USD      1/18/19       10,746       1,343,250       45,105  

Conocophilips

   UBS Warburg     Call       52.50 USD      1/18/19       17,866       937,965       175,167  

EURO STOXX 50 Index

   Deutsche Bank     Call       3426.55 EUR      9/21/18       106       363,214       8,781  

Exxon Mobil Corp.

   UBS Warburg     Call       95.00 USD      1/18/19       7,306       694,070       2,980  

Occidental Petroleum Corp.

   UBS Warburg     Call       75.00 USD      1/18/19       15,702       1,177,650       26,054  

Royal Dutch Shell plc

   UBS Warburg     Call       60.00 USD      1/18/19       19,345       1,160,700       113,288  

S&P 500 Index

   Citigroup     Call       2875.00 USD      4/20/18       665       1,911,875       566  

S&P 500 Index

   Morgan Stanley     Call       2875.00 USD      4/20/18       532       1,529,500       453  

Schlumberger, Ltd.

   UBS Warburg     Call       90.00 USD      1/18/19       10,576       951,840       5,547  

SPDR Gold Shares(c)

   Societe Generale     Call       130.00 USD      6/15/18       13,452       1,748,760       17,601  

SPDR Gold Shares(c)

   JPMorgan Chase     Call       127.00 USD      6/29/18       8,072       1,025,144       20,349  

SPDR Gold Shares(c)

   JPMorgan Chase     Call       129.00 USD      7/20/18       4,848       625,392       10,525  

SPDR Gold Shares(c)

   JPMorgan Chase     Call       130.00 USD      7/20/18       4,846       629,980       9,091  

SPDR Gold Trust(c)

   Morgan Stanley     Call       127.00 USD      4/20/18       6,728       854,456       5,140  

SPDR Gold Trust(c)

   Societe Generale     Call       128.50 USD      5/18/18       13,448       1,728,068       14,728  

SPDR Gold Trust(c)

   Morgan Stanley     Call       129.00 USD      5/18/18       10,777       1,390,233       10,465  

Suncor Energy, Inc.

   UBS Warburg     Call       35.00 USD      1/18/19       22,818       798,630       59,354  

Total SA

   UBS Warburg     Call       60.00 USD      1/18/19       23,303       1,398,180       55,167  
             

 

 

  

Total (Cost $563,735)

               $ 683,609  
             

 

 

  

See accompanying notes to the schedules of portfolio investments.

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

At March 31, 2018, the Fund’s over-the-counter options written were as follows:

 

Description

   

Counterparty

    Put/
Call		      Strike Price     Expiration
Date		      Contracts      Notional
Amount(b)		      Fair Value  

Apple, Inc.

    Barclays Bank      Call        160.00 USD      1/18/19        2,690      $ 430,400      $ (55,245 ) 

Comcast Corp.

    Citigroup      Call        36.25 USD      1/18/19        11,466        415,643        (27,678 ) 

Comcast Corp.

    Citigroup      Call        40.00 USD      1/18/19        10,766        430,640        (13,597 ) 

DowDuPont, Inc.

    Barclays Bank      Call        70.00 USD      1/18/19        5,957        416,990        (17,774 ) 

FleetCor Technologies, Inc.

    Barclays Bank      Call        180.00 USD      1/18/19        1,321        237,780        (46,624 ) 

Gilead Sciences, Inc.

    UBS Warburg      Call        80.00 USD      1/18/19        5,199        415,920        (28,188 ) 

Microsoft Corp.

    Barclays Bank      Call        90.00 USD      1/18/19        4,767        429,030        (45,373 ) 

Pioneer Natural Resources Co.

    UBS Warburg      Call        165.00 USD      1/18/19        2,826        466,290        (69,167 ) 

SPDR Gold Shares(c)

   

Societe Generale

      Call        145.00 USD      6/15/18        135        19,575        (1,946 ) 

United Continental Holdings, Inc.

    Deutsche Bank      Call        75.00 USD      1/18/19        3,469        260,175        (22,194 ) 

BP plc

    UBS Warburg      Put        25.00 USD      1/18/19        33,891        847,275        (7,667 ) 

Chevron Corp.

    UBS Warburg      Put        80.00 USD      1/18/19        10,746        859,680        (12,713 ) 

Conocophilips

    UBS Warburg      Put        35.00 USD      1/18/19        17,866        625,310        (5,425 ) 

EURO STOXX 50 Index

    Deutsche Bank      Put        2586.07 EUR      9/21/18        106        274,123        (2,374 ) 

Exxon Mobil Corp.

    UBS Warburg      Put        60.00 USD      1/18/19        7,306        438,360        (9,361 ) 

Occidental Petroleum Corp.

    UBS Warburg      Put        45.00 USD      1/18/19        15,702        706,590        (11,056 ) 

Schlumberger, Ltd.

    UBS Warburg      Put        60.00 USD      1/18/19        10,576        634,560        (42,718 ) 

Suncor Energy, Inc.

    UBS Warburg      Put        25.00 USD      1/18/19        22,818        570,450        (11,374 ) 
                   

 

 

  

Total (Premiums $576,172)

                     $ (430,474 ) 
                   

 

 

  

At March 31, 2018, the Fund’s exchange traded options purchased were as follows:

 

Description

   Put/
Call		     Strike Price     Expiration
Date		     Contracts     Notional
Amount(b)		     Fair Value  

SPDR Gold Shares(c)

     Call       125.50 USD      4/20/18       135     $ 16,943     $ 19,170  

SPDR Gold Shares(c)

     Call       128.00 USD      7/20/18       81       10,368       20,007  
           

 

 

  

Total (Cost $37,794)

             $ 39,177  
           

 

 

  

At March 31, 2018, the Fund’s exchange traded options written were as follows:

 

Description

    Put/
Call		      Strike Price     Expiration
Date		      Contracts      Notional
Amount(b)		      Fair Value  

SPDR Gold Shares(c)

      Put        118.00 USD      7/20/18        81      $ 9,558      $ (3,564 ) 
                

 

 

  

Total (Premiums $3,302)

                  $ (3,564 ) 
                

 

 

  

At March 31, 2018, the Fund’s over-the-counter currency options purchased were as follows:

 

Description

  

Counterparty

   Put/
Call		     Strike Price     Expiration
Date		     Notional
Amount		     Fair Value  

British Pound Call Currency Option (GBP/USD)

   BNP Paribas     Call       1.41 GBP      6/14/18       53,256     $ 120,328  

European Dollar Call Currency Option (EUR/USD)

   Barclays Bank     Call       1.19 EUR      5/18/18       53,161       244,018  
           

 

 

  

Total (Cost $204,178)

             $ 364,346  
           

 

 

  

At March 31, 2018, the Fund’s over-the-counter currency options written were as follows:

 

Description

   

Counterparty

    Put/
Call		      Strike Price     Expiration
Date		      Notional
Amount		     Fair Value  

British Pound Call Currency Option (USD/GBP)

    BNP Paribas      Call        1.46 GBP      6/14/18        (53,256 )    $ (28,052 ) 

South African Rand Call Currency Option (USD/ZAR)

    Goldman Sachs      Call        12.50 USD      6/14/18        (13,314 )      (13,185 ) 

British Pound Put Currency Option (USD/GBP)

    BNP Paribas      Put        1.35 GBP      6/14/18        (53,256 )      (23,645 ) 
               

 

 

  

Total (Premiums $80,408)

                 $ (64,882 ) 
               

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

At March 31, 2018, the Fund’s open over-the-counter interest rate swaptions purchased were as follows:(a)

 

Description and terms of

payments to be received

from another party          

   

Description and terms of

payments to be paid to

another party

    Expiration
Date		      Counterparty      Notional Amount     Value      Unrealized
Appreciation/
(Depreciation)		  

Fixed 1.07% Semi-annually

   

6-Month Japanese Yen LIBOR Rate BBA Semi- annually

      4/4/18        Deutsche Bank        1,006,98 0JPY    $ —        $ (21,147 ) 

Fixed 2.15% Semi-annually

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      4/24/18        Goldman Sachs        2,68 0USD      531        (183,836 ) 

Fixed 2.75% Quarterly

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      5/2/18        Goldman Sachs        12 6USD      30,569        (30,522 ) 

Fixed 2.91% Semi-annually

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      6/1/18        Goldman Sachs        1,07 7USD      62,231        (1,043 ) 

Fixed 2.42% Semi-annually

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      7/9/18        Goldman Sachs        1,07 7USD      30,906        (60,614 ) 
             

 

 

     

 

 

  

Total (Cost $421,398)

            $ 124,237      $ (297,162 ) 
             

 

 

     

 

 

  

At March 31, 2018, the Fund’s open over-the-counter interest rate swaptions written were as follows:(a)

 

Description and terms of

payments to be received

from another party          

   

Description and terms of

payments to be paid to

another party

    Expiration
Date		      Counterparty      Notional Amount     Value     Unrealized
Appreciation/
(Depreciation)		  

Fixed 1.9% Semi-annually

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      4/24/18        Goldman Sachs        (2,680 )USD    $ (49 )    $ 78,736  

Fixed 2.4% Semi-annually

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      4/24/18        Goldman Sachs        (1,340 )USD      (198,207 )      (132,821 ) 

Fixed 2.50% Quarterly

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      5/2/18        Goldman Sachs        (575 )USD      (61,447 )      (18,670 ) 

Fixed 2.66% Semi-annually

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      6/1/18        Goldman Sachs        (1,616 )USD      (31,607 )      7,716  

Fixed 2.82% Quarterly

   

3-Month U.S. Dollar LIBOR BBA Quarterly

      7/9/18        Goldman Sachs        (1,077 )USD      (118,515 )      (53,913 ) 
             

 

 

    

 

 

  

Total (Premiums $290,873)

            $ (409,825 )    $ (118,952 ) 
             

 

 

    

 

 

  

Forward Currency Contracts(a)

At March 31, 2018, the Fund’s open forward currency contracts were as follows:

 

Currency Purchased

     

Currency Sold

          

Counterparty

    Settlement
Date		      Net Unrealized
Appreciation/
(Depreciation)		  

Short Contracts:

                  

U.S. Dollar

      33,069      European Euro      26,866      Brown Brothers Harriman      4/4/18      $ 7  

U.S. Dollar

      113,209      British Pound      80,667      Morgan Stanley      4/4/18        31  

U.S. Dollar

      427,691      Australian Dollar      550,000      Citigroup      4/6/18        5,345  

U.S. Dollar

      948,130      Mexican Peso      18,586,000      UBS Warburg      4/12/18        (72,576 ) 

U.S. Dollar

      1,060,911      Australian Dollar      1,395,000      Deutsche Bank      4/13/18        (10,311 ) 

U.S. Dollar

      2,404,214      Australian Dollar      3,006,000      Goldman Sachs      4/26/18        95,901  

U.S. Dollar

      1,436,297      European Euro      1,159,000      UBS Warburg      5/21/18        5,148  

U.S. Dollar

      371,244      European Euro      300,000      UBS Warburg      5/21/18        800  
                 

 

 

  
                  $ 24,345  
                 

 

 

  

Long Contracts:

                  

Australian Dollar

      2,061,806      U.S. Dollar      1,585,982      Goldman Sachs      4/26/18      $ (2,718 ) 

British Pound

      773,000      U.S. Dollar      1,084,510      JPMorgan Chase      5/10/18        1,617  

British Pound

      769,000      U.S. Dollar      1,077,999      JPMorgan Chase      5/18/18        2,856  

British Pound

      797,000      U.S. Dollar      1,118,219      JPMorgan Chase      5/24/18        2,262  

European Euro

      78,811      U.S. Dollar      97,080      State Street      4/3/18        (99 ) 

European Euro

      1,633,000      U.S. Dollar      1,931,676      UBS Warburg      4/12/18        79,098  

European Euro

      784,000      U.S. Dollar      971,518      UBS Warburg      5/21/18        (3,424 ) 

European Euro

      1,590,000      U.S. Dollar      1,984,209      UBS Warburg      6/14/18        (17,029 ) 

See accompanying notes to the schedules of portfolio investments.

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Currency Purchased

    

Currency Sold

        

Counterparty

   Settlement
Date		     Net Unrealized
Appreciation/
(Depreciation)		  

European Euro

     852,000     Polish Zloty     3,594,332     Deutsche Bank     6/15/18     $ 2,098  

European Euro

     1,221,000     U.S. Dollar     1,521,091     UBS Warburg     6/15/18       (10,317 ) 

European Euro

     1,872,000     U.S. Dollar     2,338,952     Barclays Bank     6/29/18       (19,910 ) 

European Euro

     1,872,000     U.S. Dollar     2,342,209     Deutsche Bank     7/13/18       (20,575 ) 

European Euro

     1,872,000     U.S. Dollar     2,343,360     Goldman Sachs     7/20/18       (20,430 ) 

European Euro

     1,872,000     U.S. Dollar     2,345,185     BNP Paribas     7/27/18       (20,959 ) 

European Euro

     1,872,000     U.S. Dollar     2,346,135     UBS Warburg     8/3/18       (20,611 ) 

Japanese Yen

     28,494,146     U.S. Dollar     267,508     State Street     4/3/18       370  

Japanese Yen

     196,050,000     U.S. Dollar     1,768,981     Deutsche Bank     4/12/18       75,165  

Japanese Yen

     196,050,000     U.S. Dollar     1,770,531     BNP Paribas     4/19/18       74,431  

Japanese Yen

     186,750,000     U.S. Dollar     1,686,215     Goldman Sachs     4/20/18       71,339  

Japanese Yen

     112,914,000     U.S. Dollar     1,071,585     Barclays Bank     6/8/18       (5,342 ) 

Japanese Yen

     134,517,000     U.S. Dollar     1,270,835     Goldman Sachs     6/14/18       (28 ) 

Norwegian Krone

     6,484,000     U.S. Dollar     836,580     Morgan Stanley     4/27/18       (8,357 ) 

Swedish Krona

     8,875,919     European Euro     882,000     Deutsche Bank     6/21/18       (21,784 ) 

Swedish Krona

     8,695,763     European Euro     853,000     BNP Paribas     6/29/18       (7,602 ) 
           

 

 

  
            $ 130,051  
           

 

 

  

Swap Agreements(a)

At March 31, 2018, the Fund’s open centrally cleared credit default swap agreements (buy protection) were as follows:

 

Description

  

Clearing Agent

   Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018(d)		     Expiration
Date		     Notional
Amount(e) 		     Fixed Rate     Value     Premiums
Paid/
(Received) 		     Unrealized
Appreciation/
(Depreciation)		  

CDX North America High Yield Index Swap Agreement with Series 29

   Bank of America     Quarterly       3.07 %      12/20/22     $ 325,609       5.00 %    $ (21,027 )    $ (23,863 )    $ 2,836  
             

 

 

    

 

 

    

 

 

  
              $ (21,027 )    $ (23,863 )    $ 2,836  
             

 

 

    

 

 

    

 

 

  

At March 31, 2018, the Fund’s open over-the-counter variance swap agreements were as follows:

 

Reference Entity

   

Counterparty

    Strike Price      Expiration
Date		      Notional
Amount		      Upfront
Premiums
Paid/
(Received)		      Amount at
Value		      Unrealized
Appreciation/
(Depreciation)		  

5yr-30yr Constant Maturity Swap Capital

    Bank of America    $ 0.31        11/6/18      $ 8,330,000      $ 25,545      $ 1,767      $ (23,778 ) 
              

 

 

     

 

 

     

 

 

  

Total (Premium $25,545)

                $ 25,545      $ 1,767      $ (23,778 ) 
              

 

 

     

 

 

     

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

At March 31, 2018, the Fund’s open over-the-counter currency swap agreements were as follows:(a)

 

Pay/

Receive

Floating

Rate      

    Fixed Rate     Expiration
Date		      Counterparty      Notional Amount     Value      Unrealized
Appreciation/
(Depreciation)		  

Pay

      2.012 %      10/15/18        Bank of America        273,450,000  JPY    $ 66,196      $ 66,196  
            

 

 

     

 

 

  
             $ 66,196      $ 66,196  
            

 

 

     

 

 

  

At March 31, 2018, the Fund’s open centrally cleared interest rate swap agreements were as follows:(a)

 

Description and terms of

payments to be received

from another party        

   

Description and terms of

payments to be paid to

another party

    Expiration
Date		   

Clearing Agent

    Notional Amount     Upfront
Premiums
Paid/
(Received)		      Value     Unrealized
Appreciation/
(Depreciation)		  

6-Month Euro Interbank Offer Rate (EURIBOR) Semi-annually

    Fixed 0.415% Annually    3/7/23    Bank of America      4,684,846 EUR    $ 56      $ (18,733 )    $ (18,789 ) 

Fixed 2.403% Semi-annually

    3-Month U.S. Dollar LIBOR BBA Quarterly    3/7/23    Bank of America      5,293,612 USD      61        (74,940 )      (75,001 ) 

6-Month Euro Interbank Offer Rate (EURIBOR) Semi-annually

    Fixed 0.340% Semi-annually    6/14/23    Bank of America      4,569,918 EUR      61        22,288       22,227  

Fixed 2.33% Semi-annually

    3-Month U.S. Dollar LIBOR BBA Quarterly    6/14/23    Bank of America      5,698,956 USD      66        (110,561 )      (110,627 ) 

6-Month Euro Interbank Offer Rate (EURIBOR) Semi-annually

    Fixed 0.373% Annually    8/15/26    Bank of America      1,778,707 EUR      28        71,221       71,193  

Fixed 2.728% Semi-annually

    3-Month U.S. Dollar LIBOR BBA Quarterly    7/25/28    Bank of America      3,072,000 USD      53        (29,658 )      (29,711 ) 

6-Month Euro Interbank Offer Rate (EURIBOR) Semi-annually

    Fixed 1.078% Annually    7/25/28    Bank of America      2,156,000 EUR      46        (12,558 )      (12,604 ) 
                

 

 

    

 

 

  
                 $ (152,941 )    $ (153,312 ) 
                

 

 

    

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

At March 31, 2018, the Fund’s open over-the-counter total return swap agreements were as follows:

 

Pay/

Receive

    Financing
Rate		    

Description

    Expiration
Date		   

Counterparty

    Notional Amount     Unrealized
Appreciation/
(Depreciation)		  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/20/19    BNP Paribas SA      122,040 EUR    $ 34,104  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/20/19    BNP Paribas SA      131,430 EUR      37,905  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/27/19    BNP Paribas SA      92,430 EUR      24,471  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/17/20    BNP Paribas SA      51,650 EUR      11,749  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/18/20    BNP Paribas SA      67,410 EUR      25,578  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/18/20    BNP Paribas SA      28,860 EUR      10,999  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/18/20    BNP Paribas SA      28,920 EUR      10,925  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/18/20    BNP Paribas SA      106,900 EUR      23,499  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/18/20    BNP Paribas SA      106,700 EUR      39,246  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/18/20    BNP Paribas SA      28,800 EUR      11,073  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/18/20    BNP Paribas SA      29,100 EUR      10,704  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/17/21    BNP Paribas SA      53,400 EUR      9,596  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/17/21    BNP Paribas SA      56,450 EUR      5,844  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/17/21    BNP Paribas SA      59,750 EUR      1,784  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/17/21    BNP Paribas SA      36,240 EUR      591  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/16/22    BNP Paribas SA      55,400 EUR      4,675  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/16/22    BNP Paribas SA      126,610 EUR      4,466  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/16/22    BNP Paribas SA      32,850 EUR      3,285  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/21/22    BNP Paribas SA      54,450 EUR      5,844  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/15/23    BNP Paribas SA      79,520 EUR      775  

Pay

      0.00 %   

EURO STOXX 50 Index Dividends December Futures

    12/15/23    BNP Paribas SA      80,745 EUR      (732 ) 

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini April Futures

    4/3/23    JPMorgan Chase      4,280,000 JPY      3,656  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    4/2/18    BNP Paribas SA      19,830,600 JPY      23,850  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    4/2/18    BNP Paribas SA      20,025,000 JPY      22,023  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/29/19    BNP Paribas SA      10,312,500 JPY      23,334  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/29/19    BNP Paribas SA      10,560,000 JPY      21,008  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/29/19    BNP Paribas SA      20,514,000 JPY      47,711  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/20    BNP Paribas SA      13,960,000 JPY      37,673  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/20    BNP Paribas SA      17,000,000 JPY      51,320  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    4/1/20    BNP Paribas SA      10,488,000 JPY      28,085  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/21    BNP Paribas SA      3,880,000 JPY      6,890  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/21    BNP Paribas SA      15,520,000 JPY      27,559  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/21    BNP Paribas SA      3,855,000 JPY      7,125  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/21    BNP Paribas SA      4,215,000 JPY      3,741  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/21    BNP Paribas SA      7,655,000 JPY      14,766  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/22    BNP Paribas SA      7,950,000 JPY      13,648  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/22    BNP Paribas SA      7,970,000 JPY      13,460  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP BlackRock Global Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/22    BNP Paribas SA      4,260,000 JPY    $ 4,145  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/22    BNP Paribas SA      15,720,000 JPY      28,988  

Pay

      0.00 %   

NIKKEI 225 Dividend Index E-Mini March Futures

    3/31/23    BNP Paribas SA      4,230,000 JPY      4,126  

Pay

      0.00 %   

S&P 500 Index Dividends December Futures

    12/21/18    BNP Paribas SA      257,125 USD      38,775  

Pay

      0.00 %   

S&P 500 Index Dividends December Futures

    12/18/20    Goldman Sachs      107,944 USD      28,069  

Pay

      0.00 %   

S&P 500 Index Dividends December Futures

    12/17/21    BNP Paribas SA      133,513 USD      39,875  
               

 

 

  
                $ 766,208  
               

 

 

  

 

(a) These securities are held by the AZL BlackRock Global Allocation Fund (the “VIP Subsidiary”).
(b) Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset.
(c) All or a portion of these securities are held by the AZL Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”).
(d) Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include upfront or daily payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement.
(e) The notional amount represents the maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs, as defined under the terms of the swap agreement.

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP DFA Multi-Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (95.0%):

   

354,351

   

AZL DFA Emerging Markets Core Equity Fund

    $ 4,021,884  

3,126,098

   

AZL DFA Five-Year Global Fixed Income Fund

      31,073,416  

499,036

   

AZL DFA International Core Equity Fund

      5,659,070  

2,200,955

   

AZL DFA U.S. Core Equity Fund

      27,908,108  

654,203

   

AZL DFA U.S. Small Cap Fund

      7,994,364  
     

 

 

  

Total Affiliated Investment Companies
(Cost $68,781,963)

      76,656,842  
  

 

 

  

Total Investment Securities
(Cost $68,781,963) - 95.0%

      76,656,842  

Net other assets (liabilities) - 5.0%

      4,000,305  
  

 

 

  

Net Assets - 100.0%

    $ 80,657,147  
  

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

 

Continued

AZL MVP DFA Multi-Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $4,035,031 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:

Long Futures

 

Description

    Expiration
Date		      Number of
Contracts		      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18        18        2,378,700      $ (75,029 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18        13        1,574,828        12,577  
           

 

 

  
            $ (62,452 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP Fusion Dynamic Balanced Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

        Fair Value  

Affiliated Investment Companies (95.0%):

  

3,283,922

   

AZL DFA International Core Equity Fund

   $ 37,239,671  

2,466,225

   

AZL DFA U.S. Core Equity Fund

     31,271,736  

1,297,084

   

AZL DFA U.S. Small Cap Fund

     15,850,370  

2,528,620

   

AZL Enhanced Bond Index Fund

     27,106,810  

1,638,005

   

AZL Gateway Fund

     21,228,545  

6,920,168

   

AZL International Index Fund, Class 2

     118,404,076  

10,597,682

   

AZL MetWest Total Return Bond Fund

     106,506,705  

1,577,730

   

AZL Mid Cap Index Fund, Class 2

     36,729,545  

5,538,565

   

AZL MSCI Emerging Markets Equity Index Fund, Class 2

     49,514,768  

10,566,092

   

AZL Pyramis® Total Bond Fund, Class 2

     106,611,870  

4,483,726

   

AZL Russell 1000 Growth Index Fund, Class 2

     69,049,376  

8,077,629

   

AZL Russell 1000 Value Index Fund, Class 2

     106,301,594  

718,542

   

AZL Small Cap Stock Index Fund, Class 2

     10,742,209  

4,623,311

   

PIMCO VIT Income Portfolio

     49,284,495  

10,441,946

   

PIMCO VIT Low Duration Portfolio

     106,403,426  

9,924,810

   

PIMCO VIT Total Return Portfolio

     106,691,703  
    

 

 

  

Total Affiliated Investment Companies (Cost $926,555,787)

     998,936,899  
 

 

 

  

Total Investment Securities
(Cost $926,555,787) - 95.0%

     998,936,899  

Net other assets (liabilities) - 5.0%

     52,045,529  
 

 

 

  

Net Assets - 100.0%

   $   1,050,982,428  
 

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

 

Continued

AZL MVP Fusion Dynamic Balanced Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $52,366,873 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:

Long Futures

 

Description

    Expiration
Date		      Number of
Contracts		      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18        198        26,165,700      $ (821,663 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18        214        25,924,094        207,463  
           

 

 

  
            $ (614,200 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP Fusion Dynamic Conservative Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

        Fair Value  

Affiliated Investment Companies (95.0%):

 

587,900

   

AZL DFA International Core Equity Fund

   $ 6,666,782  

310,446

   

AZL DFA U.S. Core Equity Fund

     3,936,454  

217,911

   

AZL DFA U.S. Small Cap Fund

     2,662,875  

1,185,169

   

AZL Enhanced Bond Index Fund

     12,705,015  

296,771

   

AZL Gateway Fund

     3,846,155  

1,139,596

   

AZL International Index Fund, Class 2

     19,498,490  

3,408,872

   

AZL MetWest Total Return Bond Fund

     34,259,166  

281,802

   

AZL Mid Cap Index Fund, Class 2

     6,560,345  

729,725

   

AZL MSCI Emerging Markets Equity Index Fund, Class 2

     6,523,746  

3,390,270

   

AZL Pyramis® Total Bond Fund, Class 2

     34,207,826  

934,237

   

AZL Russell 1000 Growth Index Fund, Class 2

     14,387,248  

1,489,446

   

AZL Russell 1000 Value Index Fund, Class 2

     19,601,105  

178,810

   

AZL Small Cap Stock Index Fund, Class 2

     2,673,215  

1,500,951

   

PIMCO VIT Income Portfolio

     16,000,139  

3,086,332

   

PIMCO VIT Low Duration Portfolio

     31,449,718  

3,192,445

   

PIMCO VIT Total Return Portfolio

     34,318,786  
    

 

 

  

Total Affiliated Investment Companies
(Cost $238,387,369)

     249,297,065  
 

 

 

  

Total Investment Securities
(Cost $238,387,369) - 95.0%

     249,297,065  

Net other assets (liabilities) - 5.0%

     13,057,898  
 

 

 

  

Net Assets - 100.0%

   $   262,354,963  
 

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

 

Continued

AZL MVP Fusion Dynamic Conservative Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $13,119,823 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:

Long Futures

 

Description

    Expiration
Date		      Number of
Contracts		      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18        34        4,493,100      $ (143,290 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18        70        8,479,844        67,896  
           

 

 

  
            $ (75,394 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP Fusion Dynamic Moderate Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

Shares

        Fair Value  

Affiliated Investment Companies (95.1%):

 

10,171,358

   

AZL DFA International Core Equity Fund

   $ 115,343,202  

4,483,249

   

AZL DFA U.S. Core Equity Fund

     56,847,601  

3,734,082

   

AZL DFA U.S. Small Cap Fund

     45,630,480  

5,446,550

   

AZL Enhanced Bond Index Fund

     58,387,014  

4,440,255

   

AZL Gateway Fund

     57,545,710  

17,355,050

   

AZL International Index Fund, Class 2

     296,944,914  

18,878,823

   

AZL MetWest Total Return Bond Fund

     189,732,173  

4,401,535

   

AZL Mid Cap Index Fund, Class 2

     102,467,744  

15,194,724

   

AZL MSCI Emerging Markets Equity Index Fund, Class 2

     135,840,837  

18,822,569

   

AZL Pyramis® Total Bond Fund, Class 2

     189,919,725  

11,550,088

   

AZL Russell 1000 Growth Index Fund, Class 2

     177,871,350  

20,572,540

   

AZL Russell 1000 Value Index Fund, Class 2

     270,734,626  

2,310,890

   

AZL Small Cap Stock Index Fund, Class 2

     34,547,809  

8,721,750

   

PIMCO VIT Income Portfolio

     92,973,852  

15,215,044

   

PIMCO VIT Low Duration Portfolio

     155,041,293  

17,680,160

   

PIMCO VIT Total Return Portfolio

     190,061,725  
    

 

 

  

Total Affiliated Investment Companies (Cost $1,982,888,360)

     2,169,890,055  
 

 

 

  

Total Investment Securities
(Cost $1,982,888,360) - 95.1%

     2,169,890,055  

Net other assets (liabilities) - 4.9%

     111,312,259  
 

 

 

  

Net Assets - 100.0%

   $ 2,281,202,314  
 

 

 

  
 

Percentages indicated are based on net assets as of March 31, 2018.

 

Continued

AZL MVP Fusion Dynamic Moderate Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $112,200,523 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:    

Long Futures

 

Description

    Expiration
Date		      Number of
Contracts		      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18        509        67,264,350      $ (2,120,663 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18        367        44,458,609        356,237  
           

 

 

  
            $ (1,764,426 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP Growth Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

Shares

         Fair Value  

Affiliated Investment Companies (95.0%):

 

57,945,664

   

AZL Enhanced Bond Index Fund

    $ 621,177,514  

28,775,278

   

AZL International Index Fund, Class 2

      492,345,011  

12,414,540

   

AZL Mid Cap Index Fund, Class 2

      289,010,492  

57,650,374

   

AZL S&P 500 Index Fund, Class 2

      921,252,982  

9,713,174

   

AZL Small Cap Stock Index Fund, Class 2

      145,211,956  
     

 

 

  

Total Affiliated Investment Companies (Cost $2,145,214,433)

      2,468,997,955  
  

 

 

  

Total Investment Securities
(Cost $2,145,214,433) - 95.0%

      2,468,997,955  

Net other assets (liabilities) - 5.0%

      128,610,237  
  

 

 

  

Net Assets - 100.0%

    $ 2,597,608,192  
  

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

        

 

 

Continued

AZL MVP Growth Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $129,584,817 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:    

Long Futures

 

Description

    Expiration
Date		      Number of
Contracts		      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18        734        96,998,100      $ (2,695,604 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18        264        31,981,125        255,602  
           

 

 

  
            $ (2,440,002 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP Moderate Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

Shares

   Fair Value  

Affiliated Investment Companies (95.0%):

 

19,118,150

   

AZL Enhanced Bond Index Fund

   $ 204,946,571  

4,740,188

   

AZL International Index Fund, Class 2

     81,104,611  

2,112,722

   

AZL Mid Cap Index Fund, Class 2

     49,184,163  

9,454,349

   

AZL S&P 500 Index Fund, Class 2

     151,080,494  

1,672,601

   

AZL Small Cap Stock Index Fund, Class 2

     25,005,382  
    

 

 

  

Total Affiliated Investment Companies (Cost $463,498,413)

     511,321,221  
 

 

 

  

Total Investment Securities
(Cost $463,498,413) - 95.0%

     511,321,221  

Net other assets (liabilities) - 5.0%

     26,730,702  
 

 

 

  

Net Assets - 100.0%

   $ 538,051,923  
 

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

 

Continued

AZL MVP Moderate Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $26,853,699 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:

Long Futures

 

Description

    Expiration
Date		      Number of
Contracts		      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18        122        16,122,300      $ (592,682 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18        88        10,660,375        84,544  
           

 

 

  
            $ (508,138 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP Pyramis® Multi-Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

   Fair Value  

Affiliated Investment Company (94.9%):

 

19,039,193

   

AZL Pyramis® Multi-Strategy Fund

   $ 252,269,308  
    

 

 

  

Total Affiliated Investment Company (Cost $241,410,650)

     252,269,308  
 

 

 

  

Total Investment Securities
(Cost $241,410,650) - 94.9%

     252,269,308  

Net other assets (liabilities) - 5.1%

     13,530,348  
 

 

 

  

Net Assets - 100.0%

   $ 265,799,656  
 

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

 

Continued

AZL MVP Pyramis® Multi-Strategy Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts    

Cash of $13,272,520 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:    

Long Futures    

 

Description

    Expiration
Date		      Number of
Contracts		      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18        40        5,286,000      $ (140,995 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18        65        7,874,140        63,464  
           

 

 

  
            $ (77,531 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

AZL MVP T. Rowe Price Capital Appreciation Plus Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (95.0%):

   

18,646,387

   

AZL Enhanced Bond Index Fund

    $ 199,889,272  

18,151,342

   

AZL S&P 500 Index Fund, Class 2

      290,058,453  

30,178,828

   

AZL T. Rowe Price Capital Appreciation Fund

      545,935,004  
     

 

 

  

Total Affiliated Investment Companies
(Cost $934,329,095)

      1,035,882,729  
  

 

 

  

Total Investment Securities
(Cost $934,329,095) - 95.0%

      1,035,882,729  

Net other assets (liabilities) - 5.0%

      54,617,312  
  

 

 

  

Net Assets - 100.0%

    $ 1,090,500,041  
  

 

 

  

Percentages indicated are based on net assets as of March 31, 2018.

 

 

Continued

AZL MVP T. Rowe Price Capital Appreciation Plus Fund

Schedule of Portfolio Investments

March 31, 2018 (Unaudited)

 

Futures Contracts

Cash of $54,509,706 has been segregated to cover margin requirements for the following open contracts as of March 31, 2018:    

Long Futures

 

Description

    Expiration
Date		      Number of
Contracts		      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 Index E-Mini June Futures (U.S. Dollar)

      6/15/18        247        32,641,050      $ (923,534 ) 

U.S. Treasury 10-Year Note June Futures (U.S. Dollar)

      6/20/18        178        21,563,031        172,290  
           

 

 

  
            $ (751,244 ) 
           

 

 

  

 

See accompanying notes to the schedules of portfolio investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

1. Organization

The Allianz Variable Insurance Products Fund of Funds Trust (the “Trust”) was organized as a Delaware statutory trust on June 16, 2004. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 12 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), each of which is a series of the Trust, as follows:

 

•   AZL Balanced Index Strategy Fund

 

•   AZL DFA Multi-Strategy Fund

 

•   AZL MVP Balanced Index Strategy Fund

 

•   AZL MVP BlackRock Global Strategy Plus Fund

 

•   AZL MVP DFA Multi-Strategy Fund

 

•   AZL MVP Fusion Dynamic Balanced Fund

 

•   AZL MVP Fusion Dynamic Conservative Fund

 

•   AZL MVP Fusion Dynamic Moderate Fund

 

•   AZL MVP Growth Index Strategy Fund

 

•   AZL MVP Moderate Index Strategy Fund

 

•   AZL MVP Pyramis® Multi-Strategy Fund

 

•   AZL MVP T. Rowe Price Capital Appreciation Plus Fund

The Funds are “fund of funds,” which means that the Funds invest primarily in other mutual funds. Underlying Funds invest in stocks, bonds, and other securities and reflect varying amounts of potential investment risk and reward. The Underlying Funds record their investments at fair value. Periodically, the Funds will adjust their asset allocations as they seek to achieve their investment objectives.

The Trust is authorized to issue an unlimited number of shares of the Funds without par value. Shares of the Funds are available through the variable annuity contracts offered through the separate accounts of participating insurance companies. Currently, the Funds only offer their shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds may enter into contracts with their vendors and others that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its Schedules of Portfolio Investments (“Schedules”). The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of the Schedules requires management to make certain estimates and assumptions that affect the reported amounts at the date of the Schedules. Actual results could differ from those estimates.

Security Valuation

The Funds record their investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions

Investment transactions are recorded no later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date.

Consolidation of Subsidiaries

During the period ended March 31, 2018, the AZL MVP BlackRock Global Strategy Plus Fund primarily invested in shares of another mutual fund managed by the Manager, the AZL BlackRock Global Allocation Fund (the“VIP Subsidiary”), a wholly-owned and controlled subsidiary of the Fund.

As of March 31, 2018, the AZL MVP BlackRock Global Strategy Plus Fund’s aggregate investment in the VIP Subsidiary was $406,602,436, representing 50.03% of the AZL MVP BlackRock Global Strategy Plus Fund’s net assets.

The VIP Subsidiary’s primary vehicle for gaining exposure to commodities markets is through investment in the AZL Cayman Global Allocation Fund I, Ltd. (the “Cayman Subsidiary”), a wholly owned and controlled subsidiary of the VIP Subsidiary formed in the

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

Cayman Islands, which invests primarily in commodity-related instruments. The VIP Subsidiary’s and Cayman Subsidiary’s investments have been consolidated with those of the AZL MVP BlackRock Global Strategy Plus Fund.

Real Estate Investment Trusts

The AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The AZL MVP BlackRock Global Strategy Plus Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.

Floating Rate Loans

The AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, may invest in floating rate loans, which usually take the form of loan participations and assignments. These loans are made by banks and other large financial institutions to various companies and are typically senior in the borrowing companies’ capital structure. Coupon rates are variable and are tied to a benchmark lending rate. Loans involve a risk of loss in case of default or insolvency of the financial intermediaries who are parties to the transactions. The AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, records an investment when the borrower withdraws money and records the interest as earned.

Bank Loans

The AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate and, secondarily, the prime rate offered by one or more major U. S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Consolidated Schedule of Portfolio Investments.

All or a portion of any bank loans may be unfunded. The Portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the Portfolio must have funds sufficient to cover its contractual obligation.

Securities Lending

To generate additional income, the AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, may lend up to 331/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Allianz Investment Management LLC (the “Manager”) to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at March 31, 2018, are presented on the Fund’s Consolidated Schedule of Portfolio Investments.

Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Funds managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%.

TBA Purchase and Sale Commitments

The AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.

To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of March 31, 2018, no collateral had been posted by the Fund to counterparties for TBAs.

Derivative Instruments

All open derivative positions at period end are reflected on the Funds’ Schedules, as applicable. The following is a description of the derivative instruments that the Funds may utilize, including the primary underlying risk exposures related to each instrument type. Each Fund’s allocation to the MVP (Managed Volatility Portfolio) risk management process may include (a) derivatives such as index futures, other futures contracts, options, and other similar securities and (b) cash, money market equivalents, short-term debt instruments, money market funds, and short-term debt funds to satisfy all applicable margin requirements and to provide additional portfolio liquidity to satisfy large redemptions and any margin calls. Due to the leverage provided by derivatives, the notional value of the Funds’ derivative positions could exceed 20% of each Fund’s value. Each Fund may also use futures to gain equity exposure and may hold cash as a buffer in the event of market shocks.

Forward Currency Contracts

During the period ended March 31, 2018, the AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, entered into forward currency contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed.

Futures Contracts

The Funds (except for the AZL Balanced Index Strategy Fund and the AZL DFA Multi-Strategy Fund) may invest in futures contracts to reduce volatility and limit the need to decrease or increase allocations to underlying funds. The AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, may enter into futures contracts to gain exposure to, or economically hedge against changes in the value of equity securities.

Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Funds are required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Funds. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract.

Options Contracts

The AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, may purchase or write put and call options on a security or an index of securities. During the period ended March 31, 2018, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.

Purchased Options Contracts—The Fund pays a premium which is marked to market to reflect the current value of the option. Premiums paid for purchasing put options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing put options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.

Written Options Contracts—The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.

Swap Agreements

The AZL MVP BlackRock Global Strategy Plus Fund, through the VIP Subsidiary, may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The Fund may enter into swap agreements to manage its exposure to market, interest rate, foreign currencies and credit risk. The value of swap agreements are equal to the Fund’s obligations (or rights) under swap agreements, which will generally be equal to the net amounts to be paid or received under the agreements based upon the relative values of the positions held by each party to the agreements. In connection with these arrangements, securities may be identified as collateral in accordance with the terms of the swap agreements to provide assets of value and recourse in the event of default or bankruptcy by the counterparty.

Swaps are marked to market daily using pricing sources approved by the Board of Trustees (“Trustees”) and the change in value, if any, is recorded as unrealized gain or loss. For OTC swaps, payments received or made at the beginning of the measurement period are recorded as realized gain or loss upon termination or maturity of the OTC swap. A liquidation payment received or made at the termination of the OTC swap is recorded as a realized gain or loss. Net periodic payments received or paid by the Fund are included as part of realized gains (losses). Upon entering a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or assets determined to be liquid (the amount is subject to the clearing organization that clears the trade). Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable, as applicable, for variation margin on centrally cleared swaps.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying instruments and the inability of counterparties or clearing house to perform. The counterparty risk for centrally cleared swap agreements is generally lower than for OTC swap agreements because generally a clearing organization becomes substituted for each counterparty to a centrally cleared swap agreement and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to a clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members will satisfy its obligations to the Fund.

The notional amounts reflect the extent of the total investment exposure the Fund has under the swap agreement. The Fund bears the risk of loss of the amount expected to be received under a swap agreement (i.e., any unrealized appreciation) in the event of the default or bankruptcy of the swap agreement counterparty. The notional amount and related unrealized appreciation (depreciation) of each swap agreement at period end is disclosed in the swap tables in the Consolidated Schedule of Portfolio Investments. The Fund is party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, such as OTC swap contracts, entered into by the Fund, through the VIP Subsidiary or Cayman Subsidiary, and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding OTC swap transactions under the applicable ISDA Master Agreement.

Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional amount and are subject to interest rate risk exposure. Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Fund is contractually obligated to make. If the other party to an interest rate swap defaults, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive. As of March 31, 2018, the Fund, entered into OTC and centrally cleared interest rate swap agreements to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk).

Currency swaps are interest rate swaps in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Currency swaps may also involve an exchange of notional amounts at the start, during and/or at expiration of the contract, either at the current spot rate or another specified rate.

Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.

Credit default swap agreements may have as reference obligations one or more securities that are not currently held by the Fund. The protection “buyer” in a credit default contract is generally obligated to pay the protection “seller” an upfront, periodic, or daily stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

net cash amount, if the swap is cash settled. The Fund may be either the buyer or seller in the transaction. If the Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, the Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap.

Credit default swap agreements involve greater risks than if the Fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk. The Fund will enter into credit default swap agreements only with counterparties that meet certain standards of creditworthiness. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. If a credit event were to occur, the value of any deliverable obligation received by the seller, coupled with the upfront, periodic, or daily payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value to the seller. The Fund’s obligations under a credit default swap agreement will be accrued daily (offset against any amounts owing to the Fund). In connection with credit default swaps in which the Fund is the buyer, the Fund will segregate or “earmark” cash or assets determined to be liquid, or enter into certain offsetting positions, with a value at least equal to the Fund’s exposure (any accrued but unpaid net amounts owed by the Fund to any counterparty), on a marked-to-market basis. In connection with credit default swaps in which the Fund is the seller, the Fund will segregate or “earmark” cash or assets determined to be liquid, or enter into offsetting positions, with a value at least equal to the full notional amount of the swap (minus any amounts owed to the Fund). Such segregation or “earmarking” will ensure that the Fund has assets available to satisfy its obligations with respect to the transaction and will limit any potential leveraging of the Fund’s portfolio. Such segregation or “earmarking” will not limit the Fund’s exposure to loss.

As of March 31, 2018 the AZL MVP BlackRock Global Strategy Plus Fund, through the Subsidiary, entered into OTC and centrally cleared credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk).

Variance swaps involve the agreement of two parties to exchange cash flows based on the measured variance (or square of the volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price is generally chosen such that the fair value of the swaps is zero. At the maturity date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. As a receiver of the realized price variance, a Portfolio would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike price. As a payer of the realized price variance, a Portfolio would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike price. This type of swap is essentially a forward contract on the future realized price variance of the underlying asset.

3. Related Party Transactions

The Manager or an affiliate of the Manager serves as the investment adviser of certain underlying funds in which each Fund invests. At March 31, 2018, these underlying funds are noted as Affiliated Investment Companies in each Fund’s Schedule.

A summary of each Fund’s investments in affiliated investment companies as of March 31, 2018 is as follows:

 

                            Net Change in                       Net realized  
                      Net     Unrealized                       gains distributions  
    Fair Value     Purchases     Proceeds from     Realized     Appreciation/     Fair Value     Shares as of     Dividend     from affiliated  
    12/31/2017     at Cost     Sales     Gain(Loss)     Depreciation     3/31/2018     3/31/2018     Income     underlying funds  

AZL Balanced Index Strategy Fund

                  

AZL Enhanced Bond Index Fund

   $ 224,376,218     $ 465,414     $ (4,711,660 )    $ (152,217 )    $ (3,371,300 )    $ 216,606,455       20,205,826     $ —       $ —    

AZL International Index Fund, Class 2

     56,347,640       —         (1,714,571 )      341,367       (911,805 )      54,062,631       3,159,710       —         —    

AZL Mid Cap Index Fund, Class 2

     33,670,676       —         (1,227,482 )      204,436       (447,950 )      32,199,680       1,383,148       —         —    

AZL S&P 500 Index Fund, Class 2

     116,180,562       —         (5,757,745 )      1,178,339       (2,003,182 )      109,597,974       6,858,446       —         —    

AZL Small Cap Stock Index Fund, Class 2

     18,001,081       —         (811,657 )      140,507       (48,794 )      17,281,137       1,155,929       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 448,576,177     $ 465,414     $ (14,223,115 )    $ 1,712,432     $ (6,783,031 )    $ 429,747,877       32,763,059     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL DFA Multi-Strategy Fund

                  

AZL DFA Emerging Markets Core Equity Fund

   $ 63,140,016     $ —       $ (5,594,916 )    $ 697,120     $ 70,366     $ 58,312,586       5,137,673     $ —       $ —    

AZL DFA Five-Year Global Fixed Income Fund

     472,920,612       884,706       (4,983,867 )      (89,536 )      (2,753,924 )      465,977,991       46,879,074       —         —    

AZL DFA International Core Equity Fund

     87,201,630       —         (4,339,348 )      559,608       (1,419,590 )      82,002,300       7,231,243       —         —    

AZL DFA U.S. Core Equity Fund

     459,210,202       —         (22,936,645 )      5,558,691       (7,536,352 )      434,295,896       34,250,465       —         —    

AZL DFA U.S. Small Cap Fund

     122,556,147       —         (6,393,016 )      1,223,499       (3,023,996 )      114,362,634       9,358,644       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,205,028,607     $ 884,706     $ (44,247,792 )    $ 7,949,382     $ (14,663,496 )    $ 1,154,951,407       102,857,099     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP Balanced Index Strategy Fund

                  

AZL Enhanced Bond Index Fund

   $ 153,072,168     $ 5,660,265     $ (2,486,387 )    $ (120,345 )    $ (2,304,114 )    $ 153,821,587       14,349,029     $ —       $ —    

AZL International Index Fund, Class 2

     40,510,932       97,744       (234,456 )      27,350       (468,979 )      39,932,591       2,333,874       —         —    

AZL Mid Cap Index Fund, Class 2

     24,205,200       104,742       (416,407 )      40,602       (216,678 )      23,717,459       1,018,791       —         —    

AZL S&P 500 Index Fund, Class 2

     75,637,309       548,791       (2,072,710 )      383,472       (1,007,892 )      73,488,970       4,598,809       —         —    

AZL Small Cap Stock Index Fund, Class 2

     12,940,281       —         (376,605 )      36,472       30,780       12,630,928       844,878       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 306,365,890     $ 6,411,542     $ (5,586,565 )    $ 367,551     $ (3,966,883 )    $ 303,591,535       23,145,381     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP BlackRock Global Strategy Plus Fund

                  

AZL Enhanced Bond Index Fund

   $ 228,562,361     $ 2,340,516     $ (2,371,706 )    $ (57,893 )    $ (3,519,011 )    $ 224,954,266       20,984,540     $ —       $ —    

AZL MSCI Global Equity Index Fund

     146,445,694       —         (3,991,178 )      911,724       (2,450,234 )      140,916,006       12,706,583       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 375,008,055     $ 2,340,516     $ (6,362,884 )    $ 853,831     $ (5,969,245 )    $ 365,870,272       33,691,123     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP DFA Multi-Strategy Fund

                  

AZL DFA Emerging Markets Core Equity Fund

   $ 3,914,946     $ 150,995     $ (94,446 )    $ 24,139     $ 26,250     $ 4,021,884       354,351     $ —       $ —    

AZL DFA Five-Year Global Fixed Income Fund

     29,516,665       2,405,970       (669,678 )      (15,717 )      (163,824 )      31,073,416       3,126,098       —         —    

AZL DFA International Core Equity Fund

     5,452,804       284,533       (24,334 )      4,861       (58,794 )      5,659,070       499,036       —         —    

AZL DFA U.S. Core Equity Fund

     27,079,624       1,539,528       (570,900 )      89,218       (229,362 )      27,908,108       2,200,955       —         —    

AZL DFA U.S. Small Cap Fund

     7,729,721       482,153       (111,706 )      7,466       (113,270 )      7,994,364       654,203       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 73,693,760     $ 4,863,179     $ (1,471,064 )    $ 109,967     $ (539,000 )    $ 76,656,842       6,834,643     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

                            Net Change in                       Net realized  
                      Net     Unrealized                       gains distributions  
    Fair Value     Purchases     Proceeds from     Realized     Appreciation/     Fair Value     Shares as of     Dividend     from affiliated  
    12/31/2017     at Cost     Sales     Gain(Loss)     Depreciation     3/31/2018     3/31/2018     Income     underlying funds  

AZL MVP Fusion Dynamic Balanced Fund

                  

AZL DFA International Core Equity Fund

   $ 39,248,531     $ —       $ (1,626,280 )    $ 217,214     $ (599,794 )    $ 37,239,671       3,283,922     $ —       $ —    

AZL DFA U.S. Core Equity Fund

     33,559,467       —         (2,110,430 )      472,160       (649,461 )      31,271,736       2,466,225       —         —    

AZL DFA U.S. Small Cap Fund

     17,104,974       —         (1,007,717 )      195,342       (442,229 )      15,850,370       1,297,084       —         —    

AZL Enhanced Bond Index Fund

     27,573,381       —         (35,828 )      (1,247 )      (429,496 )      27,106,810       2,528,620       —         —    

AZL Gateway Fund

     33,620,784       —         (11,912,724 )      2,227,892       (2,707,407 )      21,228,545       1,638,005       —         —    

AZL International Index Fund, Class 2

     124,645,530       —         (5,091,016 )      1,101,304       (2,251,742 )      118,404,076       6,920,168       —         —    

AZL MetWest Total Return Bond Fund

     110,373,633       —         (2,233,980 )      (55,197 )      (1,577,751 )      106,506,705       10,597,682       —         —    

AZL Mid Cap Index Fund, Class 2

     33,557,418       5,593,400       (1,899,630 )      306,920       (828,563 )      36,729,545       1,577,730       —         —    

AZL MSCI Emerging Markets Equity Fund, Class 2

     53,193,311       —         (4,852,816 )      1,212,579       (38,306 )      49,514,768       5,538,565       —         —    

AZL Pyramis® Total Bond Fund

     110,713,901       —         (2,576,884 )      (51,021 )      (1,474,126 )      106,611,870       10,566,092       —         —    

AZL Russell 1000 Growth Index Fund

     91,065,279       —         (24,346,312 )      5,342,425       (3,012,016 )      69,049,376       4,483,726       —         —    

AZL Russell 1000 Value Index Fund

     91,073,802       22,373,400       (2,911,392 )      284,124       (4,518,340 )      106,301,594       8,077,629       —         —    

AZL Small Cap Stock Index Fund, Class 2

     11,360,051       —         (679,218 )      117,495       (56,119 )      10,742,209       718,542       —         —    

PIMCO VIT Income Portfolio

     48,497,065       1,151,006       —         —         (363,576 )      49,284,495       4,623,311       347,063       —    

PIMCO VIT Low Duration Portfolio

     109,839,812       346,527       (3,248,442 )      (169,987 )      (364,484 )      106,403,426       10,441,946       346,527       —    

PIMCO VIT Total Return Portfolio

     110,066,916       548,282       (2,007,810 )      12,122       (1,927,807 )      106,691,703       9,924,810       548,281       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,045,493,855     $ 30,012,615     $ (66,540,479 )    $ 11,212,125     $ (21,241,217 )    $ 998,936,899       84,684,057     $ 1,241,871     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP Fusion Dynamic Conservative Fund

                  

AZL DFA International Core Equity Fund

   $ 6,998,217     $ —       $ (262,430 )    $ 55,952     $ (124,957 )    $ 6,666,782       587,900     $ —       $ —    

AZL DFA U.S. Core Equity Fund

     4,306,633       —         (352,821 )      81,738       (99,096 )      3,936,454       310,446       —         —    

AZL DFA U.S. Small Cap Fund

     2,803,677       —         (100,630 )      20,774       (60,946 )      2,662,875       217,911       —         —    

AZL Enhanced Bond Index Fund

     12,949,335       —         (41,866 )      (1,409 )      (201,045 )      12,705,015       1,185,169       —         —    

AZL Gateway Fund

     6,907,550       —         (2,985,611 )      564,517       (640,301 )      3,846,155       296,771       —         —    

AZL International Index Fund, Class 2

     20,859,328       —         (1,192,465 )      258,264       (426,637 )      19,498,490       1,139,596       —         —    

AZL MetWest Total Return Bond Fund

     35,206,826       —         (428,656 )      (13,577 )      (505,427 )      34,259,166       3,408,872       —         —    

AZL Mid Cap Index Fund, Class 2

     7,018,616       —         (412,059 )      70,004       (116,216 )      6,560,345       281,802       —         —    

AZL MSCI Emerging Markets Equity Fund, Class 2

     7,000,327       —         (636,776 )      163,528       (3,333 )      6,523,746       729,725       —         —    

AZL Pyramis® Total Bond Fund

     31,390,779       3,249,342       —         —         (432,295 )      34,207,826       3,390,270       —         —    

AZL Russell 1000 Growth Index Fund

     17,333,662       —         (3,304,910 )      708,832       (350,336 )      14,387,248       934,237       —         —    

AZL Russell 1000 Value Index Fund

     17,379,950       4,058,100       (1,081,965 )      109,632       (864,612 )      19,601,105       1,489,446       —         —    

AZL Small Cap Stock Index Fund, Class 2

     2,783,265       —         (126,086 )      23,041       (7,005 )      2,673,215       178,810       —         —    

PIMCO VIT Income Portfolio

     17,152,980       116,646       (1,142,647 )      68,433       (195,273 )      16,000,139       1,500,951       116,646       —    

PIMCO VIT Low Duration Portfolio

     29,371,462       2,222,935       —         —         (144,679 )      31,449,718       3,086,332       97,136       —    

PIMCO VIT Total Return Portfolio

     35,982,856       177,207       (1,219,471 )      (28,299 )      (593,507 )      34,318,786       3,192,445       177,207       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 255,445,463     $ 9,824,230     $ (13,288,393 )    $ 2,081,430     $ (4,765,665 )    $ 249,297,065       21,930,683     $ 390,989     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP Fusion Dynamic Moderate Fund

                  

AZL DFA International Core Equity Fund

   $ 119,970,024     $ —       $ (3,475,822 )    $ 503,520     $ (1,654,520 )    $ 115,343,202       10,171,358     $ —       $ —    

AZL DFA U.S. Core Equity Fund

     60,247,547       —         (3,084,691 )      701,238       (1,016,493 )      56,847,601       4,483,249       —         —    

AZL DFA U.S. Small Cap Fund

     48,348,380       —         (2,019,877 )      401,484       (1,099,507 )      45,630,480       3,734,082       —         —    

AZL Enhanced Bond Index Fund

     59,336,541       —         (23,180 )      (542 )      (925,805 )      58,387,014       5,446,550       —         —    

AZL Gateway Fund

     83,822,440       —         (24,920,425 )      4,656,976       (6,013,281 )      57,545,710       4,440,255       —         —    

AZL International Index Fund, Class 2

     310,202,260       —         (10,345,012 )      2,279,230       (5,191,564 )      296,944,914       17,355,050       —         —    

AZL MetWest Total Return Bond Fund

     194,346,284       —         (1,751,074 )      (46,939 )      (2,816,098 )      189,732,173       18,878,823       —         —    

AZL Mid Cap Index Fund, Class 2

     95,682,061       12,101,600       (4,024,375 )      662,797       (1,954,339 )      102,467,744       4,401,535       —         —    

AZL MSCI Emerging Markets Equity Fund, Class 2

     143,689,713       —         (11,019,535 )      2,800,039       370,620       135,840,837       15,194,724       —         —    

AZL Pyramis® Total Bond Fund

     195,092,711       —         (2,492,584 )      (63,642 )      (2,616,760 )      189,919,725       18,822,569       —         —    

AZL Russell 1000 Growth Index Fund, Class 2

     231,038,729       —         (59,087,613 )      13,080,094       (7,159,860 )      177,871,350       11,550,088       —         —    

AZL Russell 1000 Value Index Fund, Class 2

     231,617,334       54,457,500       (4,672,963 )      494,695       (11,161,940 )      270,734,626       20,572,540       —         —    

AZL Small Cap Stock Index Fund, Class 2

     36,551,620       —         (2,199,788 )      379,135       (183,158 )      34,547,809       2,310,890       —         —    

PIMCO VIT Income Portfolio

     95,562,194       667,178       (2,542,956 )      149,748       (862,312 )      92,973,852       8,721,750       667,178       —    

PIMCO VIT Low Duration Portfolio

     155,302,712       497,168       —         —         (758,587 )      155,041,293       15,215,044       497,168       —    

PIMCO VIT Total Return Portfolio

     194,296,831       972,154       (1,828,824 )      (40,116 )      (3,338,320 )      190,061,725       17,680,160       972,155       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 2,255,107,381     $ 68,695,600     $ (133,488,719 )    $ 25,957,717     $ (46,381,924 )    $ 2,169,890,055       178,978,667     $ 2,136,501     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP Growth Index Strategy Fund

                  

AZL Enhanced Bond Index Fund

   $ 620,115,513     $ 16,950,253     $ (6,097,799 )    $ (323,122 )    $ (9,467,331 )    $ 621,177,514       57,945,664     $ —       $ —    

AZL International Index Fund, Class 2

     500,304,956       —         (2,506,024 )      109,603       (5,563,524 )      492,345,011       28,775,278       —         —    

AZL Mid Cap Index Fund, Class 2

     293,043,151       —         (1,781,471 )      (71,969 )      (2,179,219 )      289,010,492       12,414,540       —         —    

AZL S&P 500 Index Fund, Class 2

     943,860,209       —         (14,305,480 )      1,750,697       (10,052,444 )      921,252,982       57,650,374       —         —    

AZL Small Cap Stock Index Fund, Class 2

     145,968,711       —         (1,426,057 )      (75,633 )      744,935       145,211,956       9,713,174       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 2,503,292,540     $ 16,950,253     $ (26,116,831 )    $ 1,389,576     $ (26,517,583 )    $ 2,468,997,955       166,499,030     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP Moderate Index Strategy Fund

                  

AZL Enhanced Bond Index Fund

   $ 205,949,814     $ 2,870,583     $ (666,455 )    $ (14,342 )    $ (3,193,029 )    $ 204,946,571       19,118,150     $ —       $ —    

AZL International Index Fund, Class 2

     84,102,886       —         (2,144,881 )      446,157       (1,299,551 )      81,104,611       4,740,188       —         —    

AZL Mid Cap Index Fund, Class 2

     50,599,678       —         (1,028,651 )      171,616       (558,480 )      49,184,163       2,112,722       —         —    

AZL S&P 500 Index Fund, Class 2

     157,945,419       —         (5,680,619 )      1,186,103       (2,370,409 )      151,080,494       9,454,349       —         —    

AZL Small Cap Stock Index Fund, Class 2

     25,801,367       —         (901,646 )      152,269       (46,608 )      25,005,382       1,672,601       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 524,399,164     $ 2,870,583     $ (10,422,252 )    $ 1,941,803     $ (7,468,077 )    $ 511,321,221       37,098,010     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP Pyramis® Multi-Strategy Fund

                  

AZL Pyramis® Multi-Strategy Fund

   $ 260,858,132     $ 331,291     $ (7,055,260 )    $ (170,209 )    $ (1,694,646 )    $ 252,269,308       19,039,193     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 260,858,132     $ 331,291     $ (7,055,260 )    $ (170,209 )    $ (1,694,646 )    $ 252,269,308       19,039,193     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

AZL MVP T. Rowe Price Capital Appreciation Plus Fund

                  

AZL Enhanced Bond Index Fund

   $ 196,788,055     $ 8,245,231     $ (2,059,503 )    $ (45,947 )    $ (3,038,564 )    $ 199,889,272       18,646,387     $ —       $ —    

AZL S&P 500 Index Fund, Class 2

     297,886,624       3,429,396       (8,775,384 )      1,711,019       (4,193,202 )      290,058,453       18,151,342       —         —    

AZL T. Rowe Price Capital Appreciation Fund

     546,357,130       1,204,850       (3,439,807 )      142,879       1,669,952       545,935,004       30,178,828       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,041,031,809     $ 12,879,477     $ (14,274,694 )    $ 1,807,951     $ (5,561,814 )    $ 1,035,882,729       66,976,557     $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

4. Investment Valuation Summary

The valuation techniques employed by the Funds, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds’ investments are summarized in the three broad levels listed below:

 

  •   Level 1—quoted prices in active markets for identical assets

 

  •   Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

  •   Level 3— significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Trust determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trustees as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.

Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yields, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the fair value hierarchy. Index options are generally valued at the average of the closing bid and ask quotations on the principal exchange on the which the option is traded and are typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures, as described below, may be applied.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Trust utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when a Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Funds may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

The following is a summary of the valuation inputs used as of March 31, 2018 in valuing the Funds’ investments based upon three levels defined above:

AZL Balanced Index Strategy Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

    $ 429,747,877      $ —        $ —        $ 429,747,877  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 429,747,877      $ —        $ —        $ 429,747,877  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL DFA Multi-Strategy Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

    $ 1,154,951,407      $ —        $ —        $ 1,154,951,407  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 1,154,951,407      $ —        $ —        $ 1,154,951,407  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP Balanced Index Strategy Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

    $ 303,591,535      $ —        $ —        $ 303,591,535  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      303,591,535        —          —          303,591,535  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (231,961 )       —          —          (231,961 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 303,359,574      $ —        $ —        $ 303,359,574  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP BlackRock Global Strategy Plus Fund

 

Investment Securities:

   Level 1     Level 2     Level 3     Other^     Total  

Bank Loans

   $ —       $ 1,170,132     $ —       $ —       $ 1,170,132  

Common Stocks+

          

Aerospace & Defense

     457,715       2,199,595       —         —         2,657,310  

Air Freight & Logistics

     —         10,625       —         —         10,625  

Airlines

     3,099,169       1,916,427       —         —         5,015,596  

Auto Components

     86,716       5,954,184       —         —         6,040,900  

Automobiles

     10,262       3,877,719       —         —         3,887,981  

Banks

     8,456,017       7,472,790       —         —         15,928,807  

Beverages

     243,787       1,822,811       —         —         2,066,598  

Building Products

     593,348       670,600       —         —         1,263,948  

Capital Markets

     6,708,752       2,175,112       —         —         8,883,864  

Chemicals

     6,285,684       5,925,555       —         —         12,211,239  

Communications Equipment

     24,886       602,225       —         —         627,111  

Construction & Engineering

     —         1,059,557       —         —         1,059,557  

Construction Materials

     —         183,771       —         —         183,771  

Distributors

     —         92,068       —         —         92,068  

Diversified Financial Services

     193,097       177,069       —         —         370,166  

Diversified Telecommunication Services

     130,383       4,333,932       —         —         4,464,315  

Electric Utilities

     2,081,814       1,601,500       —         —         3,683,314  

Electrical Equipment

     56,405       1,800,140       —         —         1,856,545  

Electronic Equipment, Instruments & Components

     3,178       1,992,959       —         —         1,996,137  

Energy Equipment & Services

     608,016       —         —         —         608,016  

Equity Real Estate Investment Trusts

     99,095       1,182,983       —         —         1,282,078  

Food & Staples Retailing

     1,867,524       141,071       —         —         2,008,595  

Food Products

     183,139       6,763,500       —         —         6,946,639  

Gas Utilities

     —         1,557,498       —         —         1,557,498  

Health Care Equipment & Supplies

     1,659,655       1,376,468       —         —         3,036,123  

Health Care Providers & Services

     6,007,733       2,507,227       —         —         8,514,960  

Hotels, Restaurants & Leisure

     1,753,759       22,945       —         —         1,776,704  

Household Durables

     1,954,364       767,804       —         —         2,722,168  

Household Products

     959,844       13,805       —         —         973,649  

Independent Power & Renewable Electricity Producers

     754,181       3,678       —         —         757,859  

Industrial Conglomerates

     1,629,984       3,742,497       —         —         5,372,481  

Insurance

     3,293,862       1,954,250       —         —         5,248,112  

Internet & Direct Marketing Retail

     5,584,488       2,479       —         —         5,586,967  

Internet Software & Services

     11,716,040       5,323       2,884       —         11,724,247  

IT Services

     4,291,289       27,134       —         —         4,318,423  

Machinery

     166,732       2,381,873       —         —         2,548,605  

Media

     8,840,008       1,178,712       —         —         10,018,720  

Metals & Mining

     39,287       479,433       —         —         518,720  

Multiline Retail

     48,885       —         —         —         48,885  

Multi-Utilities

     1,343,320       707,330       —         —         2,050,650  

Oil, Gas & Consumable Fuels

     9,153,685       3,513,155       —         —         12,666,840  

Personal Products

     911,596       586,827       —         —         1,498,423  

Pharmaceuticals

     4,177,156       5,520,920       —         —         9,698,076  

Professional Services

     33,379       3,085       —         —         36,464  

Real Estate Management & Development

     686,102       3,076,404       124,390       —         3,886,896  

Road & Rail

     1,870       3,268,717       —         —         3,270,587  

Semiconductors & Semiconductor Equipment

     3,128,241       1,570,811       —         —         4,699,052  

Software

     9,754,664       19,985       2,346,535       —         12,121,184  

Specialty Retail

     3,296,807       87,022       —         —         3,383,829  

Technology Hardware, Storage & Peripherals

     10,132,355       23,850       —         —         10,156,205  

Textiles, Apparel & Luxury Goods

     42,344       1,055,676       —         —         1,098,020  

Thrifts & Mortgage Finance

     —         857,523       —         —         857,523  

Tobacco

     10,735       709,653       —         —         720,388  

Trading Companies & Distributors

     74,792       5,098       —         —         79,890  

Transportation Infrastructure

     —         114,065       —         —         114,065  

Wireless Telecommunication Services

     537,983       4,427,585       —         —         4,965,568  

Other Common Stocks+

     4,316,934       —         —         —         4,316,934  

Convertible Bonds

          

Food Products

     —         —   #      —         —         —    

Oil, Gas & Consumable Fuels

     —         551,088       —         —         551,088  

Pharmaceuticals

     —         753,240       —         —         753,240  

Real Estate Management & Development

     —         194,299       —         —         194,299  

Convertible Preferred Stocks

          

Banks

     —         161,250       —         —         161,250  

Equity Real Estate Investment Trusts

     335,064       588,031       —         —         923,095  

Internet Software & Services

     —         —         869,782       —         869,782  

Multi-Utilities

     —         595,440       —         —         595,440  

Wireless Telecommunication Services

     —         1,294,903       —         —         1,294,903  

Corporate Bonds+

          

Banks

     —         913,856       —         —         913,856  

Beverages

     —         464,707       —         —         464,707  

Capital Markets

     —         563,694       —         —         563,694  

Communications Equipment

     —         56,878       —         —         56,878  

Consumer Finance

     —         603,939       —         —         603,939  

Diversified Telecommunication Services

     —         1,517,011       —         —         1,517,011  

Food & Staples Retailing

     —         1,131,109       —         —         1,131,109  

Health Care Equipment & Supplies

     —         668,739       —         —         668,739  

Insurance

     —         302,689       —         —         302,689  

Internet Software & Services

     —         153,524       —         —         153,524  

Media

     —         207,500       —         —         207,500  

Personal Products

     —         286,010       —         —         286,010  

Pharmaceuticals

     —         155,535       —         —         155,535  

Technology Hardware, Storage & Peripherals

     —         1,022,915       —         —         1,022,915  

Foreign Bonds+

     —         32,533,755       —         —         32,533,755  

Preferred Stocks

          

Banks

     384,739       75,856       —         —         460,595  

Consumer Finance

     419,603       —         —         —         419,603  

Health Care Providers & Services

     —         860,814       349,738       —         1,210,552  

Internet Software & Services

     —         —         668,016       —         668,016  

Software

     —         —         640,025       —         640,025  

Technology Hardware, Storage & Peripherals

     —         5,788       —         —         5,788  

Private Placements

          

Household Durables

     —         —         —   #      —         —    

Internet Software & Services

     —         1,897,385       —         —         1,897,385  

Oil, Gas & Consumable Fuels

     —         —         —   #      —         —    

Right

     —         —         —   #      —         —    

U.S. Treasury Obligations

     —         99,350,604       —         —         99,350,604  

Warrant

     —         —   #      —         —         —    

Yankee Dollars+

     —         8,777,964       —         —         8,777,964  

Affiliated Investment Companies

     365,870,272       —         —         —         365,870,272  

Exchange Traded Fund

     14,529,355       —         —         —         14,529,355  

Securities Held as Collateral for Securities on Loan

     —         —         —         15,487,485       15,487,485  

Unaffiliated Investment Company

     5,731,614       —         —         —         5,731,614  

Purchased Options

     —         722,786       —         —         722,786  

Purchased Currency Options

     —         364,346       —         —         364,346  

Purchased Swaptions

     —         124,237       —         —         124,237  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Investment Securities

     514,761,708       251,595,049       5,001,370       15,487,485       786,845,612  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Other Financial Instruments:*

          

Futures Contracts

     (432,786 )      —         —         —         (432,786 ) 

Written Options

     —         (498,920 )      —         —         (498,920 ) 

Written Swaptions

     —         (409,825 )      —         —         (409,825 ) 

Forward Currency Contracts

     —         154,396       —         —         154,396  

Centrally Cleared Credit Default Swap

     —         2,836       —         —         2,836  

Over-the-Counter Variance Swap

     —         23,778       —         —         23,778  

Over-the-Counter Currency Swap

     —         66,196       —         —         66,196  

Centrally Cleared Interest Rate Swaps

     —         (153,312 )      —         —         (153,312 ) 

Total Return Swaps

     —         766,208       —         —         766,208  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments

   $ 514,328,922     $ 251,546,406     $ 5,001,370     $ 15,487,485     $ 786,364,183  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

AZL MVP DFA Multi-Strategy Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

   $ 76,656,842      $ —        $ —        $ 76,656,842  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      76,656,842        —          —          76,656,842  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (62,452 )       —          —          (62,452 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 76,594,390      $ —        $ —        $ 76,594,390  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP Fusion Dynamic Balanced Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

    $ 998,936,899      $ —        $ —        $ 998,936,899  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      998,936,899        —          —          998,936,899  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (614,200 )       —          —          (614,200 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 998,322,699      $ —        $ —        $ 998,322,699  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP Fusion Dynamic Conservative Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

    $ 249,297,065      $ —        $ —        $ 249,297,065  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      249,297,065        —          —          249,297,065  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (75,394 )       —          —          (75,394 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 249,221,671      $ —        $ —        $ 249,221,671  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP Fusion Dynamic Moderate Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

    $ 2,169,890,055      $ —        $ —        $ 2,169,890,055  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      2,169,890,055        —          —          2,169,890,055  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (1,764,426 )       —          —          (1,764,426 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 2,168,125,629      $ —        $ —        $ 2,168,125,629  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP Growth Index Strategy Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

   $ 2,468,997,955      $ —        $ —        $ 2,468,997,955  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      2,468,997,955        —          —          2,468,997,955  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (2,440,002 )       —          —          (2,440,002 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 2,466,557,953      $ —        $ —        $ 2,466,557,953  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP Moderate Index Strategy Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

   $ 511,321,221      $ —        $ —        $ 511,321,221  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      511,321,221        —          —          511,321,221  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (508,138 )       —          —          (508,138 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 510,813,083      $ —        $ —        $ 510,813,083  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP Pyramis® Multi-Strategy Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Company

    $ 252,269,308      $ —        $ —        $ 252,269,308  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      252,269,308        —          —          252,269,308  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (77,531 )       —          —          (77,531 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 252,191,777      $ —        $ —        $ 252,191,777  
  

 

 

     

 

 

     

 

 

     

 

 

  

AZL MVP T. Rowe Price Capital Appreciation Plus Fund

 

Investment Securities:

    Level 1      Level 2      Level 3      Total  

Affiliated Investment Companies

    $ 1,035,882,729      $ —        $ —        $ 1,035,882,729  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investment Securities

      1,035,882,729        —          —          1,035,882,729  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

            

Futures Contracts

      (751,244 )       —          —          (751,244 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 1,035,131,485      $ —        $ —        $ 1,035,131,485  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

+ For detailed industry descriptions, see the accompanying Consolidated Schedule of Portfolio Investments.
* Other Financial Instruments would include any derivative instruments, such as futures contracts, written options, forward currency contracts and swaps. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment except futures contracts and centrally cleared interest rate swaps which are presented at variation margin.
^ Investments categorized as Securities Held as Collateral for Securities on Loan in the Consolidated Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale.
# Represents the interest in securities that were determined to have a value of zero at March 31, 2018.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

A reconciliation of assets in which level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant level 3 investments at the end of the period.

For the period ended March 31, 2018, there have been no significant changes to the Funds’ fair valuation methodologies. Changes in valuation techniques may result in transfers out of an investment’s assigned level within the hierarchy during the reporting period. The Trust defines a significant transfer as aggregate transfers that are greater than 2% of a Fund’s net assets. There were no significant transfers between Level 1 and Level 2 as of March 31, 2018.

5. Restricted Securities

A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of March 31, 2018 are identified below.

AZL MVP BlackRock Global Strategy Plus Fund    

 

Security

   Acquisition
Date(a)		     Acquisition Cost     Shares or Principal Amount     Fair Value     Percentage of Net Assets  

AliphCom, Inc., 12.00%, 4/1/20

     4/27/15     $ 735,000       3,065,000     $ —         —   % 

AliphCom, Inc., 12.00%, 4/1/20

     11/11/15       268,000       268,000       —         —   % 

Dana Gas Sukuk, Ltd., 7.00%, 10/31/18

     5/8/13       650,390       631,620       551,088       0.07 % 

Domo, Inc., Series E

     4/1/15       998,866       144,482       869,782       0.11 % 

DropBox, Inc., Class B, 0.00%

     1/28/14       1,827,985       63,800       1,897,385       0.23 % 

Grand Rounds, Inc., Series C

     3/31/15       399,608       143,925       349,738       0.04 % 

Inversiones Alsacia SA, 8.00%, 12/31/18, Callable 4/23/18 @ 100.00

     12/22/14       —         521,825       14,350       —   % 

Jawbone, 0.00%

     1/24/17       —         23,389       —         —   % 

Lookout, Inc.

     3/4/15       63,364       5,547       2,884       0.00 % 

Lookout, Inc., Preferred Shares, Series F

     9/19/14       389,996       63,925       668,016       0.08 % 

Palantir Technologies, Inc., Series I

     3/7/24       712,042       116,157       640,025       0.08 % 

REI Agro, Ltd., Registered Shares, 5.50%, 11/13/14

     2/7/12       300,000       400,000       —         —   % 

TFS Corp., Ltd., 8.75%, 8/1/23, Callable 8/1/19 @ 106.56

     7/20/16       2,106,000       1,018,000       712,600       0.09 % 

Uber Technologies, Inc.

     3/21/14       1,063,120       68,532       2,346,535       0.29 % 

 

(a) Acquisition date represents the initial purchase date of the security.

6. Investment Risks

Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.

Commodities-Related Investment Risk: Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. The U.S. Commodities Futures Trading Commission has proposed changes to certain of its rules governing investment in commodities by mutual funds, such as the Fund. In the event these changes are adopted, or if there are changes in the tax treatment of the Fund’s direct and indirect investments in commodities, the Fund may be unable to obtain exposure to commodity markets, or may be limited in the extent to which or manner in which it can obtain such exposure.

Derivatives Risk: Certain Funds may invest directly or through affiliated or unaffiliated mutual funds or unregistered investment pools in derivative instruments such as futures, options, and options on futures. The AZL MVP BlackRock Global Strategy Plus Fund through the VIP Subsidiary may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The other party to a derivatives contract could default. As required by applicable law, a Fund

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2018 (Unaudited)

 

that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

Fund of Funds Risk: The Fund, as a shareholder of the underlying funds, indirectly bears its proportionate share of any investment management fees and other expenses of the underlying funds. Further due to the fees and expenses paid by the Fund, as well as small variations in the Fund’s actual allocations to the underlying funds and any futures and cash held in the Fund’s portfolio, the performance and income distributions of the Fund will not be the same as the performance and income distributions of the underlying funds.

Security Quality Risk (also known as “High Yield Risk”): The Fund may invest in high yield, high risk debt securities and unrated securities of similar credit quality (commonly known as “junk bonds”) may be subject to greater levels of credit and liquidity risk than funds that do not invest in such securities. These securities are considered predominately speculative with respect to the issuer’s continuing ability to make principal and interest payments. An economic downturn or period of rising interest rates could adversely affect the market for these securities and reduce the Fund’s ability to sell these securities (liquidity risk). If the issuer of a security is in default with respect to interest or principal payments, the Fund may lose the value of its entire investment.

7. Subsequent Events

Effective May 1, 2018, the AZL MVP Pyramis® Multi-Strategy Fund changed names to AZL MVP Fidelity Institutional Asset Management® Multi-Strategy Fund.

Item 2. Controls and Procedures.

(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Allianz Variable Insurance Products Fund of Funds Trust                                        
By (Signature and Title) /s/ Brian Muench                                                                                      
                                           Brian Muench, Principal Executive Officer
Date  May 16, 2018    

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title) /s/ Brian Muench                                                                                                      
                                        Brian Muench, Principal Executive Officer
Date  May 16, 2018    
By (Signature and Title) /s/ Bashir C. Asad                                                                                                                  
                                           Bashir C. Asad, Principal Financial Officer & Principal Accounting Officer
Date  May 16, 2018